Discrete-time implementation of continuous-time portfolio strategies
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Other versions of this item:
- Beate Breuer & Nicole Branger & Christian Schlag, 2006. "Discrete-Time Implementation of Continuous-Time Portfolio Strategies," Computing in Economics and Finance 2006 393, Society for Computational Economics.
References listed on IDEAS
- Leland, Hayne E., 1999. "Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes," Research Program in Finance, Working Paper Series qt0fw6k0hm, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
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- Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
More about this item
Keywordsasset allocation; discrete trading; use of derivatives;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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