Smooth investment
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Publication:2397785
DOI10.1007/S10436-016-0283-7zbMATH Open1398.91507OpenAlexW3192671292MaRDI QIDQ2397785FDOQ2397785
Mogens Steffensen, Ninna Reitzel Jensen, Kenneth Bruhn
Publication date: 23 May 2017
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-016-0283-7
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Dynamic portfolio choice with frictions
- Portfolio Selection with Transaction Costs
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Portfolio selection with transactions costs
- Utility maximization in an illiquid market
- Optimal tracking for asset allocation with fixed and proportional transaction costs
- Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Asymptotic analysis for target asset portfolio allocation with small transaction costs
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