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