Pages that link to "Item:Q471168"

The following pages link to Transaction costs, trading volume, and the liquidity premium (Q471168):

Displaying 38 items.

• Duality theory for portfolio optimisation under transaction costs (Q303976) (← 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)
• Shadow price in the power utility case (Q748318) (← links)
• Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330) (← links)
• Rebalancing multiple assets with mutual price impact (Q1626513) (← links)
• Equilibrium returns with transaction costs (Q1650939) (← links)
• Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
• On optimal investment with processes of long or negative memory (Q1743336) (← links)
• Dynamic mean-variance problem with frictions (Q2120542) (← links)
• Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
• Managing inventory with proportional transaction costs (Q2299389) (← links)
• Asymptotics for fixed transaction costs (Q2339123) (← links)
• Large deviations for the boundary local time of doubly reflected Brownian motion (Q2339560) (← links)
• Hedge and mutual funds' fees and the separation of private investments (Q2516773) (← links)
• Simple bounds for utility maximization with small transaction costs (Q2668493) (← links)
• Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
• Worst-case portfolio optimization with proportional transaction costs (Q2804001) (← links)
• Lévy Processes with Two-Sided Reflection (Q2807248) (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← links)
• On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
• Rebalancing with Linear and Quadratic Costs (Q4591242) (← links)
• Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon (Q4596857) (← links)
• INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) (← links)
• Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
• Optimal Consumption and Investment with Fixed and Proportional Transaction Costs (Q5266527) (← links)
• IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING (Q5281718) (← links)
• SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
• THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)
• The limits of leverage (Q5743123) (← links)
• Strict local martingales and optimal investment in a Black–Scholes model with a bubble (Q5743124) (← links)
• OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
• Leveraged funds: robust replication and performance evaluation (Q6053126) (← links)
• Asset pricing with general transaction costs: Theory and numerics (Q6054360) (← links)
• Penalty method for portfolio selection with capital gains tax (Q6054372) (← links)