Dynamic liquidation under market impact (Q2994855): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/14697681003785934
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+W2088967736
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@@ Property / cites work @@
+On an Investment-Consumption Model with Transaction Costs
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@@ Property / cites work @@
+Intertemporal portfolio optimization with small transaction costs and stochastic variance
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+Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
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+Discrete maximum principle for finite-difference operators
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@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
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+Optimal Impulse Control of Portfolios
@@ Property / cites work: Optimal Impulse Control of Portfolios / rank @@
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+Impulse control of portfolios with jumps and transaction costs
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+Portfolio optimisation with strictly positive transaction costs and impulse control
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+A model of optimal portfolio selection under liquidity risk and price impact
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@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
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+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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+Optimal investment and consumption with transaction costs
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+A unified approach to portfolio optimization with linear transaction costs
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