Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion

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Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion∗

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ژورنال

عنوان ژورنال: The Annals of Applied Probability

سال: 2017

ISSN: 1050-5164

DOI: 10.1214/16-aap1234