Multistage Portfolio Optimization: A Duality Result in Conic Market Models

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Bassett, Robert; Le, Khoa;
  • Publisher: eScholarship, University of California
  • Subject: Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management | math.OC | q-fin.PM | Physical Sciences and Mathematics

We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability space and... View more
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