Pages that link to "Item:Q2707156"
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The following pages link to A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements (Q2707156):
Displaying 13 items.
- Mean-variance portfolio selection with margin requirements (Q355783) (← links)
- Illiquidity, position limits, and optimal investment for mutual funds (Q634528) (← links)
- Option pricing with an illiquid underlying asset market (Q956485) (← links)
- Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) (← links)
- Superhedging under ratio constraint (Q1657512) (← links)
- Closed-form optimal strategies of continuous-time options with stochastic differential equations (Q1674900) (← links)
- Performance evaluation of portfolios with margin requirements (Q1718776) (← links)
- Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems (Q2212323) (← links)
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions (Q2945607) (← links)
- Hedging costs for two large investors (Q3017913) (← links)
- Convex duality in constrained mean-variance portfolio optimization (Q3435391) (← links)
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (Q5459956) (← links)
