Leverage management in a bull-bear switching market
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Recommendations
- Leverage management
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Cites work
- A computational scheme for optimal investment - consumption with proportional transaction costs
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Continuous-time Markowitz's model with transaction costs
- Finite horizon optimal investment and consumption with transaction costs
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- Investment Strategies under Transaction Costs: The Finite Horizon Case
- Leverage management
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
- On using shadow prices in portfolio optimization with transaction costs
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Optimal investment and consumption with transaction costs
- Optimum consumption and portfolio rules in a continuous-time model
- Penalty methods for continuous-time portfolio selection with proportional transaction costs
- Portfolio Selection with Transaction Costs
- The preferability of investment through a mutual fund
- Trend following trading under a regime switching model
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