Pages that link to "Item:Q1336583"
From MaRDI portal
The following pages link to Optimal investment and consumption with transaction costs (Q1336583):
Displayed 50 items.
- Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
- Optimal investment and consumption with proportional transaction costs in regime-switching model (Q481779) (← links)
- Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
- Proving regularity of the minimal probability of ruin via a game of stopping and control (Q484214) (← links)
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform (Q506093) (← links)
- A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774) (← links)
- Portfolio choice under transitory price impact (Q609848) (← links)
- Illiquidity, position limits, and optimal investment for mutual funds (Q634528) (← links)
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
- Shadow price in the power utility case (Q748318) (← links)
- Singular control with state constraints on unbounded domain (Q858986) (← links)
- Optimal buffer size for a stochastic processing network in heavy traffic (Q885545) (← links)
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model (Q890628) (← links)
- Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330) (← links)
- Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
- Dynamic trading policies with price impact (Q953780) (← links)
- On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
- An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (Q990425) (← links)
- Optimal investment strategies with a reallocation constraint (Q992044) (← links)
- Minimizing the probability of lifetime ruin under borrowing constraints (Q997099) (← links)
- The relaxed general maximum principle for singular optimal control of diffusions (Q999836) (← links)
- Optimal lifetime consumption and investment under a drawdown constraint (Q1003344) (← links)
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096) (← links)
- A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027) (← links)
- Optimality necessary conditions in singular stochastic control problems with nonsmooth data (Q1022953) (← links)
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) (← links)
- Annuitization and asset allocation (Q1027412) (← links)
- Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) (← links)
- Singular optimal strategies for investment with transaction costs (Q1296728) (← links)
- Asset allocation with time variation in expected returns (Q1381452) (← links)
- Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
- Mean-variance hedging for pricing European-type contingent claims with transaction costs. (Q1421067) (← links)
- Optimal consumption of a divisible durable good (Q1606182) (← links)
- Optimal singular control strategies for controlling a process to a goal. (Q1613635) (← links)
- An optimal strategy for pairs trading under geometric Brownian motions (Q1626514) (← links)
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance (Q1644203) (← links)
- Superhedging under ratio constraint (Q1657512) (← links)
- Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
- Optimal investment with transaction costs under cumulative prospect theory in discrete time (Q1687370) (← links)
- Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
- Optimal rebalancing frequencies for multidimensional portfolios (Q1744200) (← links)
- Liquidity shocks and equilibrium liquidity premia. (Q1810698) (← links)
- On the pricing of contingent claims under constraints (Q1814741) (← links)
- Dynamic programming for multidimensional stochastic control problems (Q1819110) (← links)
- Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
- A diffusion approximation model for managing cash in firms: an alternative approach to the Miller-Orr model (Q1877037) (← links)
- Numerical schemes for investment models with singular transactions (Q1890892) (← links)
- Futures trading with transaction costs (Q1928878) (← links)
- Optimal portfolios of a small investor in a limit order market: a shadow price approach (Q1932532) (← links)
- Leverage management (Q1932537) (← links)