The dual optimizer for the growth-optimal portfolio under transaction costs
dc.contributor.author
Gerhold, Stefan
dc.contributor.author
Muhle-Karbe, Johannes
dc.contributor.author
Schachermayer, Walter
dc.date.accessioned
2017-06-09T17:04:00Z
dc.date.available
2017-06-09T17:04:00Z
dc.date.issued
2012
dc.identifier.issn
0949-2984
dc.identifier.issn
1432-1122
dc.identifier.other
10.1007/s00780-011-0165-9
dc.identifier.uri
http://hdl.handle.net/20.500.11850/40776
dc.identifier.doi
10.3929/ethz-b-000040776
dc.format
application/pdf
dc.language.iso
en
dc.publisher
Springer
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Transaction costs
dc.subject
Growth-optimal portfolio
dc.subject
Shadow price
dc.subject
91B28
dc.subject
91B16
dc.subject
60H10
dc.subject
G11
dc.title
The dual optimizer for the growth-optimal portfolio under transaction costs
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
Finance and Stochastics
ethz.journal.volume
17
ethz.journal.issue
2
ethz.journal.abbreviated
Finance stoch.
ethz.pages.start
325
ethz.pages.end
354
ethz.version.deposit
publishedVersion
ethz.notes
Received 27 May 2010, Accepted 8 October 2010, Published online 24 November 2011. It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
ethz.identifier.wos
ethz.identifier.nebis
001712229
ethz.publication.place
Berlin
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich, direkt::00012 - Lehre und Forschung, direkt::00007 - Departemente, direkt::02000 - Departement Mathematik / Department of Mathematics::02003 - Professuren Reine Mathematik::03899 - Muhle-Karbe, Johannes (ehemalig)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich, direkt::00012 - Lehre und Forschung, direkt::00007 - Departemente, direkt::02000 - Departement Mathematik / Department of Mathematics::02003 - Professuren Reine Mathematik::03899 - Muhle-Karbe, Johannes (ehemalig)
ethz.date.deposited
2017-06-09T17:04:15Z
ethz.source
ECIT
ethz.identifier.importid
imp59364e9c092e489586
ethz.ecitpid
pub:68226
ethz.eth
yes
ethz.availability
Open access
ethz.rosetta.installDate
2017-07-13T00:46:47Z
ethz.rosetta.lastUpdated
2021-02-14T08:06:05Z
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