Portfolio optimisation and option pricing in discrete time with transaction costs
Discrete time models of portfolio optimisation and option pricing are studied under the effects of proportional transaction costs. In a multi-period portfolio selection problem, an investor maximises expected utility of terminal wealth by rebalancing the portfolio between a risk-free and risky asset...
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Imperial College London
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.616724 |