Optimal portfolio selection under concave price impact (Q360368): Difference between revisions

@@ Property / author @@
-Jing Xu
@@ Property / author: Jing Xu / rank @@
-Normal rank
@@ Property / author @@
+Jing Xu
@@ Property / author: Jing Xu / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6201594
@@ Property / zbMATH DE Number: 6201594 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+liquidity risk
@@ Property / zbMATH Keywords: liquidity risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+price impact
@@ Property / zbMATH Keywords: price impact / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transaction cost
@@ Property / zbMATH Keywords: transaction cost / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+impulse control
@@ Property / zbMATH Keywords: impulse control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal portfolio selection
@@ Property / zbMATH Keywords: optimal portfolio selection / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic optimization
@@ Property / zbMATH Keywords: stochastic optimization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+concave function
@@ Property / zbMATH Keywords: concave function / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasi-variational inequality
@@ Property / zbMATH Keywords: quasi-variational inequality / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+trading size
@@ Property / zbMATH Keywords: trading size / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2153964652
@@ Property / OpenAlex ID: W2153964652 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4852
@@ Property / arXiv ID: 1204.4852 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
+Normal rank
@@ Property / cites work @@
+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
+Normal rank
@@ Property / cites work @@
+Option hedging for small investors under liquidity costs
+Normal rank
@@ Property / cites work @@
+Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II
+Normal rank
@@ Property / cites work @@
+A closed-form solution to the problem of super-replication under transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal Impulse Control of Portfolios
@@ Property / cites work: Optimal Impulse Control of Portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimisation with strictly positive transaction costs and impulse control
+Normal rank
@@ Property / cites work @@
+A model of optimal portfolio selection under liquidity risk and price impact
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Survey of Measurable Selection Theorems
@@ Property / cites work: Survey of Measurable Selection Theorems / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:360368