Publication
Sep 2008
This paper considers a portfolio optimization problem in a Black-Scholes model with "n" stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon.
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English (PDF, 28 pages, 306 KB) |
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Author | Albrecht Irle, Claas Prelle |
Series | Kiel Institute Working Papers |
Issue | 1449 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2008 Kiel Institute for the World Economy |