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.
- Optimal investment in the foreign exchange market with proportional transaction costs (Q3005820) (← links)
- Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
- Non-robustness with Respect to Intervention Costs in Optimal Control (Q3158140) (← links)
- Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS (Q3195491) (← links)
- LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← links)
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES (Q3393969) (← links)
- Optimal portfolio policies under fixed and proportional transaction costs (Q3417911) (← links)
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN (Q3423400) (← links)
- Pricing a European Basket Option in the Presence of Proportional Transaction Costs (Q3424325) (← links)
- Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) (← links)
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (Q3467559) (← links)
- SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (Q3502128) (← links)
- OPTIMAL LAG IN DYNAMICAL INVESTMENTS (Q3523539) (← links)
- Growth Optimal Investment with Transaction Costs (Q3529914) (← links)
- Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909) (← links)
- State-Dependent Utility (Q3621147) (← links)
- A semi-smooth Newton method for solving elliptic equations with gradient constraints (Q3623228) (← links)
- Investment strategies in the long run with proportional transaction costs and a HARA utility function (Q3623414) (← links)
- Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation (Q3627693) (← links)
- A singular stochastic control problem in an unbounded domain (Q4313779) (← links)
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time (Q4407161) (← links)
- A Stochastic Approximation Approach for Trend-Following Trading (Q4562480) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- Rebalancing with Linear and Quadratic Costs (Q4591242) (← links)
- Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon (Q4596857) (← links)
- Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis (Q4610209) (← links)
- Optimal tracking for asset allocation with fixed and proportional transaction costs (Q4610230) (← links)
- Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon (Q4614937) (← links)
- Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations (Q4619542) (← links)
- On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control<sup>†</sup> (Q4648585) (← links)
- Maximizing survival, growth and goal reaching under borrowing constraints (Q4683118) (← links)
- On a Class of Path-Dependent Singular Stochastic Control Problems (Q4684782) (← links)
- Conic quantization: stochastic volatility and market implied liquidity (Q4991041) (← links)
- Optimal multi-asset trading with linear costs: a mean-field approach (Q4991066) (← links)
- Pairs Trading under Geometric Brownian Motion Models (Q5050093) (← links)
- Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model (Q5055305) (← links)
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection (Q5080645) (← links)
- Optimal asset allocation with restrictions on liquidity (Q5097432) (← links)
- Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model (Q5123453) (← links)
- Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network (Q5139230) (← links)
- SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS (Q5207494) (← links)
- Optimal portfolio selection under vanishing fixed transaction costs (Q5233203) (← links)
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310) (← links)
- LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS (Q5245889) (← links)
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (Q5247420) (← links)
- Optimal Execution with Multiplicative Price Impact (Q5250046) (← links)
- Optimal Consumption and Investment with Fixed and Proportional Transaction Costs (Q5266527) (← links)
- General indifference pricing with small transaction costs (Q5278183) (← links)
- THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)