Optimal portfolio policies under fixed and proportional transaction costs
Work
Year: 2006
Type: article
Abstract: Almost thirty years ago, D.G. Kendall [8] considered diffusions of shape induced by independent Brownian motions in Euclidean space.In this paper, we consider a different class of diffusions of shape,... more
Source: Advances in Applied Probability
Author Victor M. Panaretos
Institution University of California, Berkeley
Cites: 31
Cited by: 12
Related to: 10
FWCI: 1.848
Citation percentile (by year/subfield): 80.72
Subfield: Finance
Domain: Social Sciences
Open Access status: green