Pages that link to "Item:Q3145080"

The following pages link to Asymptotics and duality for the Davis and Norman problem (Q3145080):

Displaying 17 items.

• Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
• On the game interpretation of a shadow price process in utility maximization problems under transaction costs (Q377457) (← links)
• Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
• Shadow price in the power utility case (Q748318) (← links)
• Construction of discrete time shadow price (Q901244) (← links)
• Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330) (← links)
• On optimal investment with processes of long or negative memory (Q1743336) (← links)
• The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
• Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
• Asymptotic analysis for Merton's problem with transaction costs in power utility case (Q2811107) (← links)
• Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← links)
• Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) (← links)
• Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis (Q4610209) (← links)
• INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) (← links)
• Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)