Open AccessTHE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
Author(s) -
GuanYu Chen,
Ken Palmer,
Yuan-Chung Sheu
Publication year - 2008
Publication title -
international journal of theoretical and applied finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.469
H-Index - 35
eISSN - 1793-6322
pISSN - 0219-0249
DOI - 10.1142/s0219024908004725
Subject(s) - portfolio , transaction cost , replicating portfolio , economics , econometrics , mathematical economics , computer science , holding cost , portfolio optimization , mathematics , mathematical optimization , microeconomics , financial economics
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