Pages that link to "Item:Q5408798"

The following pages link to Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs (Q5408798):

Displaying 19 items.

• Duality theory for portfolio optimisation under transaction costs (Q303976) (← 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)
• A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
• Portfolio selection with drawdown constraint on consumption: a generalization model (Q2040428) (← links)
• Optimal retirement and portfolio selection with consumption ratcheting (Q2190059) (← links)
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
• Worst-case portfolio optimization with proportional transaction costs (Q2804001) (← links)
• Optimal Consumption and Sale Strategies for a Risk Averse Agent (Q2832613) (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
• On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs (Q2945617) (← 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)
• Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon (Q4596857) (← links)
• INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) (← links)
• Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
• SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)