Rebalancing with Linear and Quadratic Costs (Q4591242): Difference between revisions

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+.5306
@@ Property / arXiv ID: 1402.5306 / rank @@
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+Asymptotics for fixed transaction costs
@@ Property / cites work: Asymptotics for fixed transaction costs / rank @@
+Normal rank
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+Asymptotic Analysis for Optimal Investment in Finite Time with 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 @@
+Dynamic portfolio choice with frictions
@@ Property / cites work: Dynamic portfolio choice with frictions / rank @@
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@@ Property / cites work @@
+Transaction costs, trading volume, and the liquidity premium
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@@ Property / cites work @@
+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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@@ 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 @@
+Nonlinear price impact and portfolio choice
@@ Property / cites work: Nonlinear price impact and portfolio choice / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of optimal investment and consumption with transaction costs.
+Normal rank
@@ Property / cites work @@
+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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@@ Property / cites work @@
+Q4125134
@@ Property / cites work: Q4125134 / rank @@
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@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimisation with strictly positive transaction costs and impulse control
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@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
+Normal rank
@@ Property / cites work @@
+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Q3259158
@@ Property / cites work: Q3259158 / rank @@
+Normal rank
@@ Property / cites work @@
+Homogenization and Asymptotics for Small Transaction Costs
+Normal rank
@@ Property / cites work @@
+Q4716292
@@ Property / cites work: Q4716292 / rank @@
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@@ Property / OpenAlex ID @@
+W3123077015
@@ Property / OpenAlex ID: W3123077015 / rank @@
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