Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

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Author
Altarovici, Albert
Reppen, Max
Soner, Metecc
Date
2016-10-13
Type
    Working Paper
Publication status
published
External links
Journal / series
arXiv
Pages / Article No.
1610.03958
Publisher
Cornell University
Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)  
Funding
153555 - Martingale Optimal Transport and Robust Hedging (SNF)
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