Numerical solution of an optimal investment problem with proportional transaction costs (Q415202): Difference between revisions

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-Carlos Vázquez
@@ Property / author: Carlos Vázquez / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2012.01.029
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+W2020087108
@@ Property / OpenAlex ID: W2020087108 / rank @@
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@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
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@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
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@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
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@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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@@ Property / cites work @@
+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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+An upwind approach for an American and European option pricing model
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+Q4130923
@@ Property / cites work: Q4130923 / rank @@
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Q4162607
@@ Property / cites work: Q4162607 / rank @@
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+Finite-Dimensional Variational Inequalities and Complementarity Problems
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@@ Property / cites work @@
+On using shadow prices in portfolio optimization with transaction costs
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@@ links / mardi / name / links / mardi / name @@
+Publication:415202