Pages that link to "Item:Q4711562"

The following pages link to A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees (Q4711562):

Displaying 49 items.

• Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) (← links)
• Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
• Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
• Determining mixed linear-nonlinear coupled differential equations from multivariate discrete time series sequences (Q675936) (← links)
• Shadow price in the power utility case (Q748318) (← links)
• Optimal management of durable pollution (Q953794) (← links)
• A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027) (← links)
• Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) (← links)
• Optimality of myopic strategies for multi-stock discrete time market with management costs (Q1042507) (← links)
• Super contact and related optimality conditions (Q1177286) (← links)
• Strategic financial risk management and operations research (Q1278574) (← links)
• Singular optimal strategies for investment with transaction costs (Q1296728) (← links)
• Computational aspects in applied stochastic control (Q1342439) (← links)
• Optimal delta-hedging under transactions costs (Q1391437) (← links)
• Solving long-term financial planning problems via global optimization (Q1391442) (← links)
• Optimal long term growth rate of expected utility of wealth (Q1578591) (← links)
• Numerical schemes for investment models with singular transactions (Q1890892) (← links)
• Multi-asset portfolio selection problem with transaction costs (Q1897670) (← links)
• The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
• Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
• Optimal portfolio decision rule under nonparametric characterization of the interest rate dynamics (Q2247925) (← links)
• Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
• Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
• UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS (Q2874727) (← links)
• Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← links)
• MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS (Q3393979) (← links)
• Optimal portfolio policies under fixed and proportional transaction costs (Q3417911) (← links)
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (Q3502128) (← links)
• TRANSACTION COSTS: A NEW POINT OF VIEW (Q3523576) (← links)
• Growth Optimal Investment with Transaction Costs (Q3529914) (← links)
• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs (Q3535648) (← links)
• Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909) (← links)
• Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets (Q4018051) (← links)
• Should Stochastic Volatility Matter to the Cost‐Constrained Investor? (Q4464018) (← links)
• On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
• Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis (Q4610209) (← links)
• Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
• Von Neumann–Gale model, market frictions and capital growth (Q5086629) (← links)
• Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network (Q5139230) (← links)
• Optimal portfolio selection under vanishing fixed transaction costs (Q5233203) (← links)
• General indifference pricing with small transaction costs (Q5278183) (← links)
• THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)
• Optimal rebalancing of portfolios with transaction costs (Q5411910) (← links)
• A Method for Computing Double Band Policies for Switching between Two Diffusions (Q5485389) (← links)
• The limits of leverage (Q5743123) (← links)
• Arbitrage and viability in securities markets with fixed trading costs (Q5939295) (← links)
• Asset pricing with general transaction costs: Theory and numerics (Q6054360) (← links)