Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096): Difference between revisions

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-Fa-huai Yi
@@ Property / author: Fa-huai Yi / rank @@
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+Fa-huai Yi
@@ Property / author: Fa-huai Yi / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1016/j.jde.2008.11.003
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+W3121153783
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@@ Property / cites work @@
+On an Investment-Consumption Model with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Some solvable stochastic control problemst<sup>†</sup>
+Normal rank
@@ Property / cites work @@
+Utility maximization on the real line under proportional transaction costs
+Normal rank
@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Finite Horizon Optimal Investment and Consumption with Transaction Costs
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+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
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+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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+Optimal investment with transaction costs and without semimartingales
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+Necessary conditions for the existence of utility maximizing strategies under transaction costs
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+A geometric approach to portfolio optimization in models with transaction costs
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+Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
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+On some degenerate parabolic equations II
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+Q4172681
@@ Property / cites work: Q4172681 / rank @@
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@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
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@@ links / mardi / name / links / mardi / name @@
+Publication:1006096