scientific article; zbMATH DE number 2065144

MaRDI QIDQ4459810zbMATH OpenFDO

Authors L. C. G. Rogers, E. J. Stapleton

Publication date 18 May 2004

zbMATH Keywords

optimisationasymptoticbinomial treeportfolio choice time-lag

Mathematics Subject Classification ID

Trade models (91B60)

Recommendations

• Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification
• Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
• Optimal execution with stochastic delay
• Utility maximization in an illiquid market in continuous time
• Impulse control problem on finite horizon with execution delay

Cited in

(4)

• Large Platonic markets with delays
• Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers
• Maximal trades
• Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4459810)