Optimal Impulse Control of Portfolios
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- Impulse control of portfolios with jumps and transaction costs
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- scientific article; zbMATH DE number 2165825
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Cited in
(48)- Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
- An approximation scheme for impulse control with random reaction periods
- Optimal control of the investment portfolio with respect to the quantile criterion
- Asymptotics for fixed transaction costs
- Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation
- Optimal investment with high-watermark fee in a multidimensional jump diffusion model
- Nash equilibria in nonzero-sum differential games with impulse control
- Discussion on a class of impulse consumption control strategy of optimal stochastic problem
- Impulse control of portfolios with jumps and transaction costs
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Optimal portfolio selection under vanishing fixed transaction costs
- Should Stochastic Volatility Matter to the Cost‐Constrained Investor?
- scientific article; zbMATH DE number 1892900 (Why is no real title available?)
- Dynamic portfolio selection with nonlinear transaction costs
- A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
- Convergence of optimal investment problems in the vanishing fixed cost limit
- Impulsive control of portfolios
- A general verification result for stochastic impulse control problems
- A measure approach for continuous inventory models: discounted cost criterion
- Dynamic liquidation under market impact
- Optimal Central Bank intervention in the foreign exchange market
- Optimal impulse control of a portfolio with a fixed transaction cost
- Zero-sum stochastic differential game in finite horizon involving impulse controls
- Dynamic trading policies with price impact
- Nonzero-sum stochastic games and mean-field games with impulse controls
- Super-replication with fixed transaction costs
- One kind of optimal control problem of portfolio and consumption choice with power utility function
- Optimal investment for retail investors
- Optimal securitization of credit portfolios via impulse control
- Optimal Consumption and Portfolio Choice with Stopping
- Adaptive control of nonlinear impulsively coupled complex networks with mismatching conditions
- Portfolio diversification with Markovian prices
- Optimal delta-hedging under transactions costs
- Competition versus cooperation: a class of solvable mean field impulse control problems
- Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
- Impulsive control and synchronization of memristor-based chaotic circuits
- Existence of an infinite-horizon optimal impulse consumption of a geometric Brownian motion with variable coefficients
- Optimal portfolio selection under concave price impact
- scientific article; zbMATH DE number 1780006 (Why is no real title available?)
- Optimal consumption and investment with fixed and proportional transaction costs
- Can continuous-time portfolio optimization really be applied?
- Optimal impulse control for a multidimensional cash management system with generalized cost functions
- Optimal portfolio policies under fixed and proportional transaction costs
- EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
- Robust classical-impulse stochastic control problems in an infinite horizon
- Utility maximisation in a factor model with constant and proportional transaction costs
- A unified approach to portfolio optimization with linear transaction costs
- Determining mixed linear-nonlinear coupled differential equations from multivariate discrete time series sequences
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