Pages that link to "Item:Q1945044"

The following pages link to The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044):

Displayed 17 items.

• Duality theory for portfolio optimisation under transaction costs (Q303976) ‎ (← links)
• On the existence of shadow prices (Q377456) ‎ (← links)
• On the game interpretation of a shadow price process in utility maximization problems under transaction costs (Q377457) ‎ (← links)
• Transaction costs, trading volume, and the liquidity premium (Q471168) ‎ (← links)
• Shadow price in the power utility case (Q748318) ‎ (← links)
• Construction of discrete time shadow price (Q901244) ‎ (← links)
• On optimal investment with processes of long or negative memory (Q1743336) ‎ (← links)
• Asymptotic arbitrage with small transaction costs (Q2255014) ‎ (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) ‎ (← links)
• UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS (Q2874727) ‎ (← links)
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) ‎ (← links)
• Asymptotics and duality for the Davis and Norman problem (Q3145080) ‎ (← links)
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) ‎ (← links)
• Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) ‎ (← links)
• On the existence of shadow prices for optimal investment with random endowment (Q4584687) ‎ (← links)
• Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) ‎ (← links)
• SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) ‎ (← links)