Asymptotic analysis for target asset portfolio allocation with small transaction costs

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Title: Asymptotic analysis for target asset portfolio allocation with small transaction costs
Author(s): Liu, C
Zheng, H
Item Type: Journal Article
Publication Date: 12-Nov-2015
Date of Acceptance: 30-Oct-2015
URI: http://hdl.handle.net/10044/1/30823
DOI: https://dx.doi.org/10.1016/j.insmatheco.2015.10.014
ISSN: 0167-6687
Publisher: Elsevier
Start Page: 59
End Page: 68
Journal / Book Title: Insurance Mathematics & Economics
Volume: 66
Copyright Statement: © 2015 Elsevier B.V. All rights reserved. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Keywords: Social Sciences
Science & Technology
Physical Sciences
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematics
Mathematical Methods In Social Sciences
Target asset portfolio allocation
Tracking error
Proportional transaction costs
Magnus expansion
Asymptotic analysis
Statistics & Probability
Mathematical Sciences
Economics
Commerce, Management, Tourism And Services
Publication Status: Published
Appears in Collections:Financial Mathematics
Mathematics
Faculty of Natural Sciences



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