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Approximate hedging for nonlinear transaction costs on the volume of traded assets.

Romuald ElieEmmanuel Lépinette
Published in: Finance Stochastics (2015)
Keyphrases
  • transaction costs
  • piecewise linear
  • numerical integration
  • stock exchange
  • portfolio management
  • search costs
  • transaction cost economics
  • information extraction
  • portfolio selection