Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Crossref DOI link: https://doi.org/10.1007/s00780-017-0351-5
Published Online: 2017-11-17
Published Print: 2018-01
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Czichowsky, Christoph
Peyre, RĂ©mi
Schachermayer, Walter
Yang, Junjian
License valid from 2017-11-17