Simple bounds for utility maximization with small transaction costs (Q2668493): Difference between revisions

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+Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
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+Utility Maximization Trading Two Futures with Transaction Costs
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+A note on utility based pricing and asymptotic risk diversification
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+Hedging Under an Expected Loss Constraint with Small Transaction Costs
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+Weak Dynamic Programming Principle for Viscosity Solutions
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+Asymptotic lower bounds for optimal tracking: a linear programming approach
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+Portfolio selection with transactions costs
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+I-divergence geometry of probability distributions and minimization problems
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+Portfolio Selection with Transaction Costs
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+Exponential Hedging and Entropic Penalties
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+SDEs with oblique reflection on nonsmooth domains
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+Efficient discretization of stochastic integrals
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+Transaction costs, trading volume, and the liquidity premium
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+Almost sure optimal hedging strategy
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+Stability of Radner equilibria with respect to small frictions
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+Q4778955
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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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+On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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+Stochastic differential equations with reflecting boundary conditions
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+Small‐cost asymptotics for long‐term growth rates in incomplete markets
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+The Malliavin Calculus and Related Topics
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+Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
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+Q3160516
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+Asymptotically optimal discretization of hedging strategies with jumps
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+Optimal investment in incomplete markets when wealth may become negative.
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+A super-martingale property of the optimal portfolio process
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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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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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