scientific article; zbMATH DE number 2065144

zbMATH Open1089.91027MaRDI QIDQ4459810FDOQ4459810

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

Publication date: 18 May 2004

Title of this publication is not available (Why is that?)

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

zbMATH Keywords

optimisationasymptoticbinomial treeportfolio choice time-lag

Mathematics Subject Classification ID

Trade models (91B60)

Cited In (4)

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

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