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

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