Transaction costs: a new point of view

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dc.creatorBaviera, R.
dc.date1999-07-22
dc.date.accessioned2026-07-07T12:11:06Z
dc.date.available2026-07-07T12:11:06Z
dc.descriptionWe consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the quantities of interest to exit times and probabilities to reach barriers. This leads to analytic results in the Wiener case and to directly measurable quantities on a historical dataset in real markets.
dc.description20 pages, LaTeX, 9 eps figures, submitted to Int. J. Theor. Appl. Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/9907339
dc.identifierhttp://arxiv.org/abs/cond-mat/9907339
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210121
dc.subjectDisordered Systems and Neural Networks
dc.subjectTrading and Market Microstructure
dc.titleTransaction costs: a new point of view
dc.typetext

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