Pages that link to "Item:Q990383"
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The following pages link to On using shadow prices in portfolio optimization with transaction costs (Q990383):
Displaying 50 items.
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Leverage management in a bull-bear switching market (Q311005) (← 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)
- Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
- Existence of shadow prices in finite probability spaces (Q532533) (← links)
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
- Shadow price in the power utility case (Q748318) (← links)
- Construction of discrete time shadow price (Q901244) (← links)
- Superhedging under ratio constraint (Q1657512) (← links)
- Existence of a Radner equilibrium in a model with transaction costs (Q1670390) (← links)
- Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648) (← links)
- Optimal portfolios of a small investor in a limit order market: a shadow price approach (Q1932532) (← links)
- The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
- A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
- Optimal strategies for utility from terminal wealth with general bid and ask prices (Q2019996) (← links)
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
- Trading with small nonlinear price impact (Q2192738) (← links)
- Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
- Asymptotic arbitrage with small transaction costs (Q2255014) (← 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)
- Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
- Optimal liquidity provision (Q2348293) (← links)
- Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
- Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
- Worst-case portfolio optimization with proportional transaction costs (Q2804001) (← links)
- Asymptotic analysis for Merton's problem with transaction costs in power utility case (Q2811107) (← links)
- Optimal Consumption and Sale Strategies for a Risk Averse Agent (Q2832613) (← links)
- Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
- UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS (Q2874727) (← links)
- On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs (Q2945617) (← links)
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
- Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS (Q3195491) (← links)
- LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← 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)
- INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) (← links)
- Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
- Optimal solution of the liquidation problem under execution and price impact risks (Q5079391) (← links)
- SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
- THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
- Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (Q5869806) (← links)
- Penalty method for portfolio selection with capital gains tax (Q6054372) (← links)
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387) (← links)
- Optimal investment for retail investors (Q6054421) (← links)
