Utility based option pricing with proportional transaction costs and diversification problems: an interior-point optimization approach
Journal Article
(1999)
University
Delft University of Technology
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https://resolver.tudelft.nl/uuid:5203d367-016d-4b6c-aa7c-ca84a55c4aee
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Publication Year
1999
University
Delft University of Technology
Issue number
3
Volume number
29
Pages (from-to)
395-422
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