The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044): Difference between revisions

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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Inequalities for upcrossings of semimartingales via skorohod embedding
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+Q3150773
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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+Portfolio Selection with Transaction Costs
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+Consistent price systems and face-lifting pricing under transaction costs
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+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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+Asymptotic analysis of optimal investment and consumption with transaction costs.
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+On using shadow prices in portfolio optimization with transaction costs
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+Optimal investment and consumption with transaction costs
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+A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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