Worst-case portfolio optimization with proportional transaction costs
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Cites work
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
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Cited in
(11)- On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs
- The worst-case discounted regret portfolio optimization problem
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- Worst-case portfolio optimization in a market with bubbles
- Worst-case optimal investment with a random number of crashes
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- Asset allocation with distorted beliefs and transaction costs
- Worst-case portfolio optimization in discrete time
- OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
- Optimal portfolio policies under fixed and proportional transaction costs
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