Optimal portfolios of a small investor in a limit order market: a shadow price approach (Q1932532): Difference between revisions

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+Portfolio Selection with Transaction Costs
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+Stochastic Integrals with Respect to Optional Semimartingales and Random Measures
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+Optimal portfolios for logarithmic utility.
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+On using shadow prices in portfolio optimization with transaction costs
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+A note on stochastic integration with respect to optional semimartingales
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+Optimal investment and consumption with transaction costs
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+Publication:1932532