Robust Utility Maximization in Discrete-Time Markets with Friction - Research Collection

Metadata only

Autor(in)

Datum

2018

Typ

Journal Article

Zitate

13 Zitate in Web of Science

ETH Bibliographie

yes

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Publikationsstatus

published

Externe Links

https://doi.org/10.1137/16M1101829

Zeitschrift / Serie

SIAM Journal on Control and Optimization

Band

56(3)

Seiten / Artikelnummer

1912 - 1937

Verlag

Society for Industrial and Applied Mathematics Publications

Thema

robust optimization; utility maximization; financial markets with friction

Förderung

172815 - Asymptotics and Model Uncertainty in Optimal Control (SNF)

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Zitate

13 Zitate in Web of Science

ETH Bibliographie

yes

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