Pages that link to "Item:Q1006096"
From MaRDI portal
The following pages link to Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096):
Displaying 50 items.
- An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis (Q289517) (← links)
- Leverage management in a bull-bear switching market (Q311005) (← links)
- A note on finite horizon optimal investment and consumption with transaction costs (Q316893) (← links)
- An optimal consumption-investment model with constraint on consumption (Q326805) (← links)
- Numerical solution of an optimal investment problem with proportional transaction costs (Q415202) (← links)
- Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370) (← links)
- Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
- A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774) (← links)
- Illiquidity, position limits, and optimal investment for mutual funds (Q634528) (← links)
- Parabolic variational inequality with parameter and gradient constraints (Q641654) (← links)
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
- On \(L^p\)-viscosity solutions of bilateral obstacle problems with unbounded ingredients (Q785325) (← links)
- A variational inequality arising from European option pricing with transaction costs (Q943445) (← links)
- Superhedging under ratio constraint (Q1657512) (← links)
- Hiring, firing, and relocation under employment protection (Q1657544) (← links)
- Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
- Futures trading with transaction costs (Q1928878) (← links)
- Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) (← links)
- The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
- Ambiguity premium and transaction costs (Q1984415) (← links)
- Consuming durable goods when stock markets jump: a strategic asset allocation approach (Q1994529) (← links)
- A power penalty approach to a mixed quasilinear elliptic complementarity problem (Q2052401) (← links)
- Solution method for discrete double obstacle problems based on a power penalty approach (Q2076391) (← links)
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control (Q2114262) (← links)
- An analytical study of participating policies with minimum rate guarantee and surrender option (Q2120540) (← links)
- Parabolic inequalities in Orlicz spaces with data in \(L^1\) (Q2135004) (← links)
- A consumption-investment model with state-dependent lower bound constraint on consumption (Q2166446) (← links)
- A free boundary problem arising from a multi-state regime-switching stock trading model (Q2172474) (← links)
- A fully nonlinear free boundary problem for minimizing the ruin probability (Q2188539) (← links)
- An integral equation approach for optimal investment policies with partial reversibility (Q2213041) (← links)
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
- Capital renewal as a real option (Q2275633) (← links)
- A fully nonlinear free boundary problem arising from optimal dividend and risk control model (Q2280170) (← links)
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
- Optimal fee structure of variable annuities (Q2665877) (← links)
- Free boundary problem for an optimal investment problem with a borrowing constraint (Q2673401) (← links)
- Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
- Worst-case portfolio optimization with proportional transaction costs (Q2804001) (← links)
- Optimal Trend Following Trading Rules (Q2806822) (← links)
- Iterative scheme for an elliptic non-local free boundary problem (Q2832368) (← links)
- A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM (Q2874280) (← links)
- On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs (Q2945617) (← links)
- INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) (← links)
- A stochastic control model of investment, production, and consumption on a finite horizon (Q5246792) (← links)
- Penalty method for portfolio selection with capital gains tax (Q6054372) (← links)
- Asymptotic analysis of long‐term investment with two illiquid and correlated assets (Q6054437) (← links)
- A double obstacle problem in an optimal investment problem (Q6097533) (← links)
- (Q6109504) (← links)
- A reversible investment problem with capacity and demand in finite horizon: free boundary analysis (Q6490243) (← links)
- An irreversible investment problem with demand on a finite horizon: the optimal investment boundary analysis (Q6495284) (← links)
