Pages that link to "Item:Q1336583"
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The following pages link to Optimal investment and consumption with transaction costs (Q1336583):
Displayed 50 items.
- Optimal portfolio selection under concave price impact (Q360368) (← links)
- Optimal investment and consumption with default risk: HARA utility (Q370878) (← links)
- Numerical solution of an optimal investment problem with proportional transaction costs (Q415202) (← links)
- Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370) (← links)
- Portfolio choice under transitory price impact (Q609848) (← links)
- Illiquidity, position limits, and optimal investment for mutual funds (Q634528) (← links)
- Singular control with state constraints on unbounded domain (Q858986) (← links)
- Optimal buffer size for a stochastic processing network in heavy traffic (Q885545) (← links)
- Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
- Dynamic trading policies with price impact (Q953780) (← links)
- On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
- An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (Q990425) (← links)
- Optimal investment strategies with a reallocation constraint (Q992044) (← links)
- Minimizing the probability of lifetime ruin under borrowing constraints (Q997099) (← links)
- The relaxed general maximum principle for singular optimal control of diffusions (Q999836) (← links)
- Optimal lifetime consumption and investment under a drawdown constraint (Q1003344) (← links)
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096) (← links)
- A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027) (← links)
- Optimality necessary conditions in singular stochastic control problems with nonsmooth data (Q1022953) (← links)
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) (← links)
- Annuitization and asset allocation (Q1027412) (← links)
- Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) (← links)
- Singular optimal strategies for investment with transaction costs (Q1296728) (← links)
- Asset allocation with time variation in expected returns (Q1381452) (← links)
- Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
- Mean-variance hedging for pricing European-type contingent claims with transaction costs. (Q1421067) (← links)
- Optimal consumption of a divisible durable good (Q1606182) (← links)
- Optimal singular control strategies for controlling a process to a goal. (Q1613635) (← links)
- Liquidity shocks and equilibrium liquidity premia. (Q1810698) (← links)
- On the pricing of contingent claims under constraints (Q1814741) (← links)
- Dynamic programming for multidimensional stochastic control problems (Q1819110) (← links)
- Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
- A diffusion approximation model for managing cash in firms: an alternative approach to the Miller-Orr model (Q1877037) (← links)
- Numerical schemes for investment models with singular transactions (Q1890892) (← links)
- Futures trading with transaction costs (Q1928878) (← links)
- Optimal portfolios of a small investor in a limit order market: a shadow price approach (Q1932532) (← links)
- Leverage management (Q1932537) (← links)
- Curve following in illiquid markets (Q1932555) (← links)
- Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) (← links)
- The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
- A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
- Maximizing the utility of consumption with commutable life annuities (Q2445347) (← links)
- Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. (Q2478407) (← links)
- Optimal partially reversible investment with entry decision and general production function (Q2485848) (← links)
- Multi-asset investment-consumption model with transaction costs (Q2567303) (← links)
- Finite-Fuel Singular Control With Discretionary Stopping (Q2706903) (← links)
- Optimal Market Making in the Foreign Exchange Market (Q2786211) (← links)
- Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513) (← links)
- Dynamic liquidation under market impact (Q2994855) (← links)