Dynamic portfolio choice with return predictability and transaction costs (Q1999643): Difference between revisions

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-Song-Ping Zhu
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+Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
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+MaRDI publication profile
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+W2946324444
@@ Property / OpenAlex ID: W2946324444 / rank @@
+Normal rank
@@ Property / cites work @@
+Reaching nirvana with a defaultable asset?
@@ Property / cites work: Reaching nirvana with a defaultable asset? / rank @@
+Normal rank
@@ Property / cites work @@
+On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
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@@ Property / cites work @@
+Equilibrium returns with transaction costs
@@ Property / cites work: Equilibrium returns with transaction costs / rank @@
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@@ Property / cites work @@
+Predicting Equity Liquidity
@@ Property / cites work: Predicting Equity Liquidity / rank @@
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@@ Property / cites work @@
+Consumption and Portfolio Decisions when Expected Returns are Time Varying
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+Portfolio selection in stochastic markets with HARA utility functions
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+HARA frontiers of optimal portfolios in stochastic markets
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+Q5263525
@@ Property / cites work: Q5263525 / rank @@
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@@ Property / cites work @@
+Mean-variance portfolio selection of cointegrated assets
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+Mean-variance asset-liability management: cointegrated assets and insurance liability
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+Portfolio Selection with Transaction Costs
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+Portfolio selection: a review
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+Controlled Markov processes and viscosity solutions
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+Optimal trade execution: a mean quadratic variation approach
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+Dynamic portfolio choice with frictions
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+Robust Portfolio Control with Stochastic Factor Dynamics
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+Optimal investment and consumption under a continuous-time cointegration model with exponential utility
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+Mean-variance approximations to expected utility
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+Optimum consumption and portfolio rules in a continuous-time model
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