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Paper / 2026SMQ / 45523390272546
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
Artur Sidorenko / Yuri Kabanov
optimization / portfolio optimizationResource overview

On convergence of the Mayer problems arising in the theory of financial markets with transaction cost

Paper2026

by Artur Sidorenko, Yuri Kabanov

Tags
optimizationportfolio optimizationstochastic processestransaction costs

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Suggested foundations for stochastic processes and pricing and portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  4. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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