Pages that link to "Item:Q303976"

The following pages link to Duality theory for portfolio optimisation under transaction costs (Q303976):

Displaying 20 items.

• Strong supermartingales and limits of nonnegative martingales (Q272945) (← links)
• Existence of solutions in non-convex dynamic programming and optimal investment (Q513744) (← links)
• Existence of a Radner equilibrium in a model with transaction costs (Q1670390) (← links)
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
• Optimal strategies for utility from terminal wealth with general bid and ask prices (Q2019996) (← 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)
• Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781) (← links)
• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment (Q2240480) (← links)
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
• Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
• Log-optimal and rapid paths in von Neumann-Gale dynamical systems (Q2326016) (← links)
• Optimal investment with random endowments and transaction costs: duality theory and shadow prices (Q2422170) (← 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)
• Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
• SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387) (← links)
• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs (Q6146693) (← links)