Asymptotics and duality for the Davis and Norman problem (Q3145080): Difference between revisions

@@ Property / cites work @@
+A super-replication theorem in Kabanov's model of 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 @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+The dual optimizer for the growth-optimal portfolio under transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for logarithmic utility.
@@ Property / cites work: Optimal portfolios for logarithmic utility. / rank @@
+Normal rank
@@ Property / cites work @@
+Coefficient Identities for Powers of Taylor and Dirichlet Series
+Normal rank
@@ Property / cites work @@
+Consistent price systems and face-lifting pricing under transaction costs
+Normal rank
@@ Property / cites work @@
+Q5515607
@@ Property / cites work: Q5515607 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5434578
@@ Property / cites work: Q5434578 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of optimal investment and consumption with transaction costs.
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+On using shadow prices in portfolio optimization with transaction costs
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios of a small investor in a limit order market: a shadow price approach
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
+Normal rank
@@ Property / cites work @@
+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank