Pages that link to "Item:Q2463703"

The following pages link to A model of optimal portfolio selection under liquidity risk and price impact (Q2463703):

Displaying 43 items.

• Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) (← links)
• Numerical approximation for a portfolio optimization problem under liquidity risk and costs (Q315777) (← links)
• Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
• On the strategic behavior of large investors: a mean-variance portfolio approach (Q323400) (← links)
• Optimal portfolio selection under concave price impact (Q360368) (← links)
• An optimal execution problem with market impact (Q457189) (← links)
• Liquidity risk, price impacts and the replication problem (Q483927) (← links)
• A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638) (← links)
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (Q734661) (← links)
• Asset price bubbles, market liquidity, and systemic risk (Q829205) (← links)
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233) (← links)
• Infinite reload options: pricing and analysis (Q952078) (← links)
• Impulse control problem on finite horizon with execution delay (Q1016624) (← links)
• Optimal asset liquidation with multiplicative transient price impact (Q1630423) (← links)
• Asset market equilibrium with liquidity risk (Q1648910) (← links)
• An approximation scheme for impulse control with random reaction periods (Q1728360) (← links)
• Dynamic portfolio selection with market impact costs (Q1785239) (← links)
• Optimal securitization of credit portfolios via impulse control (Q1932538) (← links)
• A BSDE approach to stochastic differential games involving impulse controls and HJBI equation (Q2165425) (← links)
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory (Q2175840) (← links)
• Zero-sum stochastic differential game in finite horizon involving impulse controls (Q2187339) (← links)
• Nonzero-sum stochastic differential games between an impulse controller and a stopper (Q2194136) (← links)
• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects (Q2274222) (← links)
• Optimal exploitation of a resource with stochastic population dynamics and delayed renewal (Q2314851) (← links)
• Solution examples of an impulse control problem (Q2349654) (← links)
• Optimal impulse control for a multidimensional cash management system with generalized cost functions (Q2378465) (← links)
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions (Q2422348) (← links)
• Hedging in an illiquid binomial market (Q2510779) (← links)
• Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791) (← links)
• Swing Options Valuation: A BSDE with Constrained Jumps Approach (Q2917441) (← links)
• Dynamic liquidation under market impact (Q2994855) (← links)
• FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY (Q3621562) (← links)
• Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
• LIQUIDITY IN A BINOMIAL MARKET (Q4906530) (← links)
• Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls (Q5076703) (← links)
• Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310) (← links)
• Bid-Ask Spread Modelling, a Perturbation Approach (Q5746535) (← links)
• A market model with medium/long-term effects due to an insider (Q5746774) (← links)
• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (Q5851724) (← links)
• Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets (Q6151940) (← links)
• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate (Q6556883) (← links)
• The solution to an impulse control problem motivated by optimal harvesting (Q6627020) (← links)
• Existence of maximal solutions for the financial stochastic Stefan problem of a volatile asset with spread (Q6658925) (← links)