Optimal investment in the foreign exchange market with proportional transaction costs (Q3005820): Difference between revisions

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+https://doi.org/10.1080/14697680903460150
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+W2108284982
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@@ Property / cites work @@
+Consumption-investment problems with transaction costs: Survey and open problems
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+Convex duality in constrained portfolio optimization
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+Portfolio Selection with Transaction Costs
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+On the existence and unicity of solutions of stochastic integral equations
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+Controlled Markov processes and viscosity solutions
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+Asymptotic analysis of optimal investment and consumption with transaction costs.
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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 @@
+Optimum consumption and portfolio rules in a continuous-time model
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+A computational scheme for optimal investment - consumption with proportional transaction costs
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@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
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