Pages that link to "Item:Q1336583"
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The following pages link to Optimal investment and consumption with transaction costs (Q1336583):
Displayed 50 items.
- Curve following in illiquid markets (Q1932555) (← links)
- Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) (← links)
- The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
- Ambiguity premium and transaction costs (Q1984415) (← links)
- Consuming durable goods when stock markets jump: a strategic asset allocation approach (Q1994529) (← links)
- A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
- The self-financing equation in limit order book markets (Q1999602) (← links)
- Switching between a pair of stocks: an optimal trading rule (Q2001567) (← links)
- An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
- Markov decision processes with quasi-hyperbolic discounting (Q2022761) (← links)
- Robust portfolio selection for individuals: minimizing the probability of lifetime ruin (Q2031384) (← links)
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (Q2112716) (← links)
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
- MFGs for partially reversible investment (Q2145812) (← links)
- A consumption-investment model with state-dependent lower bound constraint on consumption (Q2166446) (← links)
- Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies (Q2190061) (← links)
- Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
- Markov selection for constrained martingale problems (Q2279331) (← links)
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns (Q2288946) (← links)
- Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
- Asymptotics for fixed transaction costs (Q2339123) (← links)
- Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
- Merton problem in an infinite horizon and a discrete time with frictions (Q2358298) (← links)
- Investment and consumption in regime-switching models with proportional transaction costs and log utility (Q2360794) (← links)
- Arbitrage theory for non convex financial market models (Q2403708) (← links)
- A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
- Maximizing the utility of consumption with commutable life annuities (Q2445347) (← links)
- Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. (Q2478407) (← links)
- Optimal partially reversible investment with entry decision and general production function (Q2485848) (← links)
- Multi-asset investment-consumption model with transaction costs (Q2567303) (← links)
- Simple bounds for utility maximization with small transaction costs (Q2668493) (← links)
- Benefits of fluctuating exchange rates on the investor's wealth (Q2676205) (← links)
- Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market (Q2684949) (← links)
- Optimal job switching and retirement decision (Q2700416) (← links)
- Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
- Finite-Fuel Singular Control With Discretionary Stopping (Q2706903) (← links)
- Optimal Market Making in the Foreign Exchange Market (Q2786211) (← links)
- Worst-case portfolio optimization with proportional transaction costs (Q2804001) (← links)
- Optimal Trend Following Trading Rules (Q2806822) (← links)
- Asymptotic analysis for Merton's problem with transaction costs in power utility case (Q2811107) (← links)
- Optimal Consumption and Sale Strategies for a Risk Averse Agent (Q2832613) (← links)
- Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513) (← links)
- UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS (Q2874727) (← links)
- A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS (Q2874733) (← links)
- On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs (Q2945617) (← links)
- Optimal investment with transaction costs and dividends for an insurer (Q2954353) (← links)
- An overview of unconstrained free boundary problems (Q2955795) (← links)
- Dynamic liquidation under market impact (Q2994855) (← links)