Optimal rebalancing frequencies for multidimensional portfolios (Q1744200): Difference between revisions

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+Asymptotics for fixed transaction costs
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+Normal rank
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+Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
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+Q2725576
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+Normal rank
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+INVESTING WITH LIQUID AND ILLIQUID ASSETS
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+Utility Maximization Trading Two Futures with Transaction Costs
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+On the inverse function theorem
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+Normal rank
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+Portfolio Selection with Transaction Costs
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+Normal rank
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+Dynamic portfolio choice with frictions
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+Normal rank
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+Almost sure optimal hedging strategy
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+Normal rank
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+The limits of leverage
@@ Property / cites work: The limits of leverage / rank @@
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+LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
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+Rebalancing multiple assets with mutual price impact
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+EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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+Normal rank
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+Asymptotic analysis of optimal investment and consumption with transaction costs.
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+Futures trading with transaction costs
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+Normal rank
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+Derivative pricing based on local utility maximization
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+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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+Portfolio selection with transactions costs
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+Normal rank
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+Risk aversion asymptotics for power utility maximization
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+Q5253267
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+Normal rank
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+Small‐cost asymptotics for long‐term growth rates in incomplete markets
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+Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
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+Q3160516
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+Normal rank
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+Optimal investment and consumption with transaction costs
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+Homogenization and Asymptotics for Small Transaction Costs
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+Asymptotically optimal discretization of hedging strategies with jumps
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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