48 citations · 207 across the 31 of their papers we have counts for
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q-fin.PM2016
Optimal portfolio selection under vanishing fixed transaction costs
Sören Christensen, Albrecht Irle, Andreas Ludwig
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the conv…
q-fin.PM2012★ 4 cited
Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs
Sören Christensen, Marc Wittlinger
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exce…