Pages that link to "Item:Q5488977"

The following pages link to MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (Q5488977):

Displaying 36 items.

• Dynamic portfolio optimization with transaction costs and state-dependent drift (Q319244) (← links)
• Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments (Q439922) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• High dimensional mean-variance optimization through factor analysis (Q476227) (← links)
• Synergy effect of cooperative investment (Q513649) (← links)
• A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
• A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027) (← links)
• Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) (← links)
• An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions (Q1619226) (← links)
• Optimal rebalancing frequencies for multidimensional portfolios (Q1744200) (← links)
• Futures trading with transaction costs (Q1928878) (← links)
• Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) (← links)
• A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
• Primal-dual active set method for pricing American better-of option on two assets (Q2205394) (← links)
• Valuing switching options with the moving-boundary method (Q2246609) (← links)
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929) (← links)
• On discrete probability approximations for transaction cost problems (Q2326983) (← links)
• Asymptotics for fixed transaction costs (Q2339123) (← links)
• A moving boundary approach to American option pricing (Q2654413) (← links)
• Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
• A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM (Q2874280) (← links)
• Solving Impulse-Control Problems with Control Delays (Q2920950) (← links)
• Optimal investment in the foreign exchange market with proportional transaction costs (Q3005820) (← links)
• Optimal trading strategies—a time series approach (Q3302654) (← links)
• Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (Q3467559) (← links)
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (Q3502128) (← links)
• Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909) (← links)
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (Q3650926) (← links)
• Nonlinear Parabolic Equations Arising in Mathematical Finance (Q4626488) (← links)
• INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) (← links)
• Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization (Q4971373) (← links)
• Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network (Q5139230) (← links)
• Analysis of the rebalancing frequency in log-optimal portfolio selection (Q5190136) (← links)
• Asymptotic analysis of long‐term investment with two illiquid and correlated assets (Q6054437) (← links)
• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs (Q6146693) (← links)