7 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.PM2012★ 7 cited
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
Johannes Muhle-Karbe, Ren Liu
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small t…
q-fin.PM2010
The dual optimizer for the growth-optimal portfolio under transaction costs
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988].…