Asymptotic Theory of Transaction Costs

  • Walter Schachermayer

    Universität Wien, Austria
Asymptotic Theory of Transaction Costs cover

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FrontmatterDownload pp. i–iv
PrefaceDownload pp. v–viii
ContentsDownload pp. ix–x
1Models on finite probability spacespp. 1–13
2Utility maximization under transaction costs: The case of finite pp. 15–30
3Growth-optimal portfolio in the Black–Scholes modelpp. 31–65
4General duality theorypp. 67–91
5Local duality theorypp. 93–109
6Portfolio optimization under transaction costspp. 111–122
7Shadow price processpp. 123–126
8Case study: Fractional Brownian motionpp. 127–133
AAppendixpp. 135–142
Bibliographypp. 143–147
Indexpp. 149–150