Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2018-01

AUTHORS

Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang

ABSTRACT

The present paper accomplishes a major step towards a reconciliation of two conflicting approaches in mathematical finance: on the one hand, the mainstream approach based on the notion of no arbitrage (Black, Merton & Scholes), and on the other hand, the consideration of non-semimartingale price processes, the archetype of which being fractional Brownian motion (Mandelbrot). Imposing (arbitrarily small) proportional transaction costs and considering logarithmic utility optimisers, we are able to show the existence of a semimartingale, frictionless shadow price process for an exponential fractional Brownian financial market. More... »

PAGES

161-180

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00780-017-0351-5

DOI

http://dx.doi.org/10.1007/s00780-017-0351-5

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1092751032


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