Smooth investment
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Publication:2397785
Recommendations
- Two methods for optimal investment with trading strategies of finite variation
- A Minimum Variance Result in Continuous Trading Portfolio Optimization
- Admissible investment strategies in continuous trading
- Optimum Constrained Portfolio Rules in a Diffusion Market
- Optimal investment with transient price impact
Cites work
- Asymptotic analysis for target asset portfolio allocation with small transaction costs
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Dynamic portfolio choice with frictions
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Mean-variance portfolio optimization with state-dependent risk aversion
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
- Optimal tracking for asset allocation with fixed and proportional transaction costs
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
- Portfolio selection with transactions costs
- Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
- Utility maximization in an illiquid market
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