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dc.contributor.author
Czichowsky, Christoph
dc.contributor.author
Peyre, Rémi
dc.contributor.author
Schachermayer, Walter
dc.contributor.author
Yang, Junjian
dc.date.accessioned
2018-07-05T14:05:57Z
dc.date.available
2017-12-05T05:39:56Z
dc.date.available
2017-12-15T13:01:59Z
dc.date.available
2017-12-15T13:11:59Z
dc.date.available
2018-07-05T14:05:57Z
dc.date.issued
2018-01
dc.identifier.issn
0949-2984
dc.identifier.issn
1432-1122
dc.identifier.other
10.1007/s00780-017-0351-5
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/217051
dc.language.iso
en
en_US
dc.publisher
Springer
en_US
dc.subject
Proportional transaction costs
en_US
dc.subject
Fractional Brownian motion
en_US
dc.subject
Shadow prices
en_US
dc.subject
Two-way crossing
en_US
dc.subject
Logarithmic utility
en_US
dc.title
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
en_US
dc.type
Journal Article
dc.date.published
2017-11-17
ethz.journal.title
Finance and Stochastics
ethz.journal.volume
22
en_US
ethz.journal.issue
1
en_US
ethz.journal.abbreviated
Finance stoch.
ethz.pages.start
161
en_US
ethz.pages.end
180
en_US
ethz.code.jel
G1 - General Financial Markets::G11 - Portfolio Choice; Investment Decisions
en_US
ethz.code.jel
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C61 - Optimization Techniques; Programming Models; Dynamic Analysis
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Berlin
en_US
ethz.publication.status
published
en_US
ethz.date.deposited
2017-12-05T05:40:06Z
ethz.source
SCOPUS
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-12-15T13:02:01Z
ethz.rosetta.lastUpdated
2018-07-05T14:06:07Z
ethz.rosetta.versionExported
true
ethz.COinS
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