Optimal investment strategies with a reallocation constraint
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Cites work
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- scientific article; zbMATH DE number 1069629 (Why is no real title available?)
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- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Capital Market Equilibrium with Personal Tax
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- Consumption-Investment Models with Constraints
- Convex Analysis
- Hedging in incomplete markets with HARA utility
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- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Merton Problem with Taxes: Characterization, Computation, and Approximation
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal investment and consumption with transaction costs
- Optimal lifetime consumption and investment under a drawdown constraint
- Optimal trajectories of infinite-horizon deterministic control systems
- Optimum consumption and portfolio rules in a continuous-time model
- Option hedging for small investors under liquidity costs
- Portfolio Selection with Transaction Costs
- Portfolio selection with transactions costs
- Risk Management with Benchmarking
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- The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
- The relaxed investor and parameter uncertainty
Cited in
(4)- Nearly optimal strategies for special cases of on-line capital investment.
- scientific article; zbMATH DE number 5589331 (Why is no real title available?)
- scientific article; zbMATH DE number 6402032 (Why is no real title available?)
- scientific article; zbMATH DE number 5044374 (Why is no real title available?)
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