Pages that link to "Item:Q1381306"

The following pages link to Portfolio optimisation with strictly positive transaction costs and impulse control (Q1381306):

Displayed 50 items.

• Impulse control of pension fund contributions, in a regime switching economy (Q297413) ‎ (← links)
• Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) ‎ (← links)
• Numerical approximation for a portfolio optimization problem under liquidity risk and costs (Q315777) ‎ (← links)
• Optimal portfolio selection under concave price impact (Q360368) ‎ (← links)
• Optimal investment under transaction costs for an insurer (Q487570) ‎ (← links)
• Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching (Q613607) ‎ (← links)
• Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? (Q650754) ‎ (← links)
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (Q734661) ‎ (← links)
• European option pricing and hedging with both fixed and proportional transaction costs (Q956487) ‎ (← links)
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) ‎ (← links)
• Optimal Central Bank intervention in the foreign exchange market (Q1306767) ‎ (← links)
• Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) ‎ (← links)
• Stability of Radner equilibria with respect to small frictions (Q1709608) ‎ (← links)
• Utility maximisation in a factor model with constant and proportional transaction costs (Q1711719) ‎ (← links)
• Switching cost models as hypothesis tests (Q1714074) ‎ (← links)
• An approximation scheme for impulse control with random reaction periods (Q1728360) ‎ (← links)
• Super-replication with fixed transaction costs (Q1737955) ‎ (← links)
• Optimization of risk policy and dividends with fixed transaction costs under interest rate (Q1758139) ‎ (← links)
• Futures trading with transaction costs (Q1928878) ‎ (← links)
• Optimal securitization of credit portfolios via impulse control (Q1932538) ‎ (← links)
• Optimality of \((s, S)\) policies for jump inventory models (Q1935956) ‎ (← links)
• Optimal reinsurance-investment and dividends problem with fixed transaction costs (Q2031387) ‎ (← links)
• Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs (Q2178096) ‎ (← links)
• Zero-sum stochastic differential game in finite horizon involving impulse controls (Q2187339) ‎ (← links)
• Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates (Q2311124) ‎ (← links)
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach (Q2323336) ‎ (← links)
• Asymptotics for fixed transaction costs (Q2339123) ‎ (← links)
• Optimal impulse control for a multidimensional cash management system with generalized cost functions (Q2378465) ‎ (← links)
• Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process (Q2418705) ‎ (← links)
• A unified approach to portfolio optimization with linear transaction costs (Q2433238) ‎ (← links)
• A model of optimal portfolio selection under liquidity risk and price impact (Q2463703) ‎ (← links)
• A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES (Q2746224) ‎ (← links)
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS (Q2746235) ‎ (← links)
• Optimal Consumption and Sale Strategies for a Risk Averse Agent (Q2832613) ‎ (← links)
• Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791) ‎ (← links)
• A General Verification Result for Stochastic Impulse Control Problems (Q2968551) ‎ (← links)
• Dynamic liquidation under market impact (Q2994855) ‎ (← links)
• Optimal portfolio policies under fixed and proportional transaction costs (Q3417911) ‎ (← links)
• Pricing a European Basket Option in the Presence of Proportional Transaction Costs (Q3424325) ‎ (← links)
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (Q3502128) ‎ (← links)
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST (Q3523568) ‎ (← links)
• Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909) ‎ (← links)
• Optimal Index Tracking Under Transaction Costs and Impulse Control (Q4216117) ‎ (← links)
• Should Stochastic Volatility Matter to the Cost‐Constrained Investor? (Q4464018) ‎ (← links)
• Rebalancing with Linear and Quadratic Costs (Q4591242) ‎ (← links)
• Optimal tracking for asset allocation with fixed and proportional transaction costs (Q4610230) ‎ (← links)
• Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility (Q4906410) ‎ (← links)
• Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls (Q5076703) ‎ (← links)
• An impulsive delay discrete stochastic neural network fractional-order model and applications in finance (Q5086845) ‎ (← links)
• Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case (Q5168872) ‎ (← links)