A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES (Q3005846): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2008.00350.x
+Normal rank
@@ Property / OpenAlex ID @@
+W1994353573
@@ Property / OpenAlex ID: W1994353573 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3405478
@@ Property / cites work: Q3405478 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3136505
@@ Property / cites work: Q3136505 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+A coupled system of integrodifferential equations arising in liquidity risk model
+Normal rank
@@ Property / cites work @@
+Some control problems with random intervention times
+Normal rank