Numerical solution of an optimal investment problem with proportional transaction costs (Q415202): Difference between revisions

@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
+Normal rank
@@ Property / cites work @@
+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
+Normal rank
@@ Property / cites work @@
+An upwind approach for an American and European option pricing model
+Normal rank
@@ Property / cites work @@
+Q4130923
@@ Property / cites work: Q4130923 / rank @@
+Normal rank
@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
+Normal rank
@@ Property / cites work @@
+Q4162607
@@ Property / cites work: Q4162607 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-Dimensional Variational Inequalities and Complementarity Problems
+Normal rank
@@ Property / cites work @@
+On using shadow prices in portfolio optimization with transaction costs
+Normal rank