Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837): Difference between revisions

@@ Property / OpenAlex ID @@
+W3122031304
@@ Property / OpenAlex ID: W3122031304 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.7330
@@ Property / arXiv ID: 1207.7330 / rank @@
+Normal rank
@@ Property / cites work @@
+Multi‐asset portfolio optimization with transaction cost
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Utility Maximization Trading Two Futures with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
+Normal rank
@@ Property / cites work @@
+Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
+Normal rank
@@ Property / cites work @@
+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
+Normal rank
@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Super contact and related optimality conditions
@@ Property / cites work: Super contact and related optimality conditions / rank @@
+Normal rank
@@ Property / cites work @@
+The dual optimizer for the growth-optimal portfolio under transaction costs
+Normal rank
@@ Property / cites work @@
+Transaction costs, trading volume, and the liquidity premium
+Normal rank
@@ Property / cites work @@
+LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
+Normal rank
@@ Property / cites work @@
+Portfolios and risk premia for the long run
@@ Property / cites work: Portfolios and risk premia for the long run / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent price systems and face-lifting pricing under transaction costs
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of optimal investment and consumption with transaction costs.
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+On using shadow prices in portfolio optimization with transaction costs
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
+Normal rank
@@ Property / cites work @@
+On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Q3160516
@@ Property / cites work: Q3160516 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Stochastic Equations for Diffusion Processes in a Bounded Region. II
+Normal rank
@@ Property / cites work @@
+Homogenization and Asymptotics for Small Transaction Costs
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
+Normal rank
@@ Property / cites work @@
+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank