Pages that link to "Item:Q303976"
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The following pages link to Duality theory for portfolio optimisation under transaction costs (Q303976):
Displaying 24 items.
- Strong supermartingales and limits of nonnegative martingales (Q272945) (← links)
- Existence of solutions in non-convex dynamic programming and optimal investment (Q513744) (← links)
- Existence of a Radner equilibrium in a model with transaction costs (Q1670390) (← links)
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
- Optimal strategies for utility from terminal wealth with general bid and ask prices (Q2019996) (← links)
- Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies (Q2190061) (← links)
- Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
- Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781) (← links)
- Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment (Q2240480) (← 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)
- Log-optimal and rapid paths in von Neumann-Gale dynamical systems (Q2326016) (← links)
- Optimal investment with random endowments and transaction costs: duality theory and shadow prices (Q2422170) (← links)
- Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
- Shadow price approximation for the fractional Black Scholes model (Q2693249) (← links)
- Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios (Q5013831) (← links)
- Optimal Consumption and Investment with Fixed and Proportional Transaction Costs (Q5266527) (← links)
- SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387) (← links)
- Discrete‐time risk sensitive portfolio optimization with proportional transaction costs (Q6146693) (← links)
