Pages that link to "Item:Q1691449"
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The following pages link to Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449):
Displayed 11 items.
- High-frequency trading with fractional Brownian motion (Q2022763) (← links)
- Emergence of turbulent epochs in oil prices (Q2213590) (← links)
- Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781) (← links)
- Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
- Shadow price approximation for the fractional Black Scholes model (Q2693249) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- Trading Fractional Brownian Motion (Q4971980) (← links)
- Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios (Q5013831) (← links)
- Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients (Q5086493) (← links)
- Discrete‐time risk sensitive portfolio optimization with proportional transaction costs (Q6146693) (← links)
- STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION (Q6170163) (← links)
