Pages that link to "Item:Q1336583"

The following pages link to Optimal investment and consumption with transaction costs (Q1336583):

Displaying 50 items.

• On investment consumption modeling with jump process extensions for productive sectors (Q262002) (← links)
• An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis (Q289517) (← links)
• Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) (← links)
• Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
• Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← 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)
• Malliavin method for optimal investment in financial markets with memory (Q317870) (← links)
• An optimal consumption-investment model with constraint on consumption (Q326805) (← links)
• Optimal portfolio selection under concave price impact (Q360368) (← links)
• Optimal investment and consumption with default risk: HARA utility (Q370878) (← 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)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (Q470525) (← links)
• Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
• Optimal investment and consumption with proportional transaction costs in regime-switching model (Q481779) (← links)
• Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
• Proving regularity of the minimal probability of ruin via a game of stopping and control (Q484214) (← links)
• Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform (Q506093) (← links)
• A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774) (← links)
• Portfolio choice under transitory price impact (Q609848) (← links)
• Illiquidity, position limits, and optimal investment for mutual funds (Q634528) (← links)
• A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
• Shadow price in the power utility case (Q748318) (← links)
• Singular control with state constraints on unbounded domain (Q858986) (← links)
• Optimal buffer size for a stochastic processing network in heavy traffic (Q885545) (← links)
• Legendre transform-dual solution for investment and consumption problem under the Vasicek model (Q890628) (← links)
• Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330) (← links)
• Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
• Dynamic trading policies with price impact (Q953780) (← links)
• On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
• An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (Q990425) (← links)
• Optimal investment strategies with a reallocation constraint (Q992044) (← links)
• Minimizing the probability of lifetime ruin under borrowing constraints (Q997099) (← links)
• The relaxed general maximum principle for singular optimal control of diffusions (Q999836) (← links)
• Optimal lifetime consumption and investment under a drawdown constraint (Q1003344) (← links)
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096) (← links)
• A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027) (← links)
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data (Q1022953) (← links)
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) (← links)
• Annuitization and asset allocation (Q1027412) (← links)
• Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) (← links)
• Singular optimal strategies for investment with transaction costs (Q1296728) (← links)
• Asset allocation with time variation in expected returns (Q1381452) (← links)
• Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
• Mean-variance hedging for pricing European-type contingent claims with transaction costs. (Q1421067) (← links)
• Optimal consumption of a divisible durable good (Q1606182) (← links)
• Optimal singular control strategies for controlling a process to a goal. (Q1613635) (← links)
• An optimal strategy for pairs trading under geometric Brownian motions (Q1626514) (← links)