Pages that link to "Item:Q4226860"
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The following pages link to HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup> (Q4226860):
Displaying 50 items.
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Leverage management in a bull-bear switching market (Q311005) (← links)
- Dynamic conic hedging for competitiveness (Q317543) (← 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)
- Numerical solution of an optimal investment problem with proportional transaction costs (Q415202) (← links)
- Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
- Non-concave utility maximisation on the positive real axis in discrete time (Q496584) (← links)
- A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774) (← links)
- Existence of shadow prices in finite probability spaces (Q532533) (← links)
- The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads (Q553523) (← links)
- Option hedging for small investors under liquidity costs (Q650751) (← links)
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model (Q665729) (← links)
- The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
- Introduction to convex optimization in financial markets (Q715237) (← links)
- American contingent claims under small proportional transaction costs (Q861832) (← links)
- Risk measure pricing and hedging in the presence of transaction costs (Q874350) (← links)
- A super-replication theorem in Kabanov's model of transaction costs (Q881423) (← links)
- Computation of reservation prices of options with proportional transaction costs (Q956510) (← links)
- On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096) (← links)
- A computational scheme for the optimal strategy in an incomplete market (Q1027435) (← links)
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (Q1045982) (← links)
- The European option with hereditary price structures (Q1294213) (← links)
- Singular optimal strategies for investment with transaction costs (Q1296728) (← links)
- Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
- The super-replication problem via probabilistic methods (Q1413690) (← links)
- Price functionals with bid-ask spreads: An axiomatic approach (Q1592527) (← links)
- Optimal consumption of a divisible durable good (Q1606182) (← links)
- Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
- Existence of a Radner equilibrium in a model with transaction costs (Q1670390) (← links)
- On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets (Q1687373) (← links)
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
- Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
- Hedging American contingent claims with constrained portfolios under proportional transaction costs (Q1776603) (← links)
- Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
- Optimal investment with transaction costs and without semimartingales (Q1872364) (← links)
- Dual formulation of the utility maximization problem under transaction costs (Q1872433) (← links)
- Explicit solution to the multivariate super-replication problem under transaction costs. (Q1872495) (← links)
- Leverage management (Q1932537) (← links)
- Pricing in an equilibrium based model for a large investor (Q1932553) (← links)
- The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market (Q1972345) (← links)
- Advanced strategies of portfolio management in the Heston market model (Q2069087) (← links)
- Asset price bubbles in markets with transaction costs (Q2085833) (← links)
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions (Q2175464) (← links)
- Trading with small nonlinear price impact (Q2192738) (← 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)
- FTAP in finite discrete time with transaction costs by utility maximization (Q2255008) (← links)
