Abstracts
Strong supermartingales and portfolio optimisation under transaction costs
Christoph Czichowsky (London School of Economics and Political Science, UK)
Wednesday June 4, 12:00-12:30 | session 4.9 | Transaction Costs | room H
In this talk, we develop a dynamic duality theory for portfolio optimisation under proportional transaction costs with cadlag price processes. In particular, we provide examples that illustrate the new effects arising from the combination of the transaction costs and jumps of the price process.