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Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty · Study

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ChapterDynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty

Jean‐Pierre Aubin2005

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Chaptergreen2005

Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty

Jean‐Pierre Aubin · Dominique Pujal · Patrick Saint-Pierre

50 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Stability and Control of Uncertain Systems Risk and Portfolio Optimization

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References

1998Arbitrage Theory in Continuous Time 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs 1977Liens entre équations différentielles stochastiques et ordinaires 1997Dynamic Economic Theory 2000Superreplication Under Gamma Constraints 2004Invariance of stochastic control systems with deterministic arguments 2002History Path Dependent Optimal Control and Portfolio Valuation and Management 1998Existence of stochastic control under state constraints

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2005The Robust Control Approach to Option Pricing and Interval Models: An Overview 2007Robust Control Approach to Option Pricing, Including Transaction Costs 2012The Interval Market Model in Mathematical Finance

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Year2005

Typechapter

Published2005-01-01

VenueSpringer eBooks

Languageen

Citations50

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/0-387-25118-9_3

openalex_workW1501390649

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