Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506): Difference between revisions

@@ Property / author @@
-Roland Griesse
@@ Property / author: Roland Griesse / rank @@
-Normal rank
@@ Property / author @@
-Karl Kunisch
@@ Property / author: Karl Kunisch / rank @@
-Normal rank
@@ Property / author @@
+Roland Griesse
@@ Property / author: Roland Griesse / rank @@
+Normal rank
@@ Property / author @@
+Karl Kunisch
@@ Property / author: Karl Kunisch / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W1992789611
@@ Property / OpenAlex ID: W1992789611 / rank @@
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@@ Property / cites work @@
+On an Investment-Consumption Model with Transaction Costs
+Normal rank
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+Optimal soaring via Hamilton-Jacobi-Bellman equations
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+Penalty methods for continuous-time portfolio selection with proportional transaction costs
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+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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+Portfolio Selection with Transaction Costs
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+A second order elliptic equation with gradient constraint
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+Numerical schemes for variational inequalities arising in international asset pricing
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+Optimal portfolio policies under fixed and proportional transaction costs
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+Lagrange Multiplier Approach to Variational Problems and Applications
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+Trading Regions Under Proportional Transaction Costs
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+Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
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+A computational scheme for optimal investment - consumption with proportional transaction costs
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+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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+Q4871736
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+Optimal investment and consumption with transaction costs
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+A unified approach to portfolio optimization with linear transaction costs
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