Pages that link to "Item:Q4874954"

The following pages link to On an Investment-Consumption Model with Transaction Costs (Q4874954):

Displayed 50 items.

• Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) ‎ (← links)
• Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) ‎ (← links)
• An optimal consumption-investment model with constraint on consumption (Q326805) ‎ (← links)
• Illiquidity, position limits, and optimal investment for mutual funds (Q634528) ‎ (← links)
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (Q734661) ‎ (← links)
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences (Q829333) ‎ (← links)
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096) ‎ (← links)
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) ‎ (← links)
• Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) ‎ (← links)
• Computational aspects in applied stochastic control (Q1342439) ‎ (← links)
• Optimal consumption of a divisible durable good (Q1606182) ‎ (← links)
• Optimal investment-consumption strategy under inflation in a Markovian regime-switching market (Q1727501) ‎ (← links)
• A diffusion approximation model for managing cash in firms: an alternative approach to the Miller-Orr model (Q1877037) ‎ (← links)
• Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) ‎ (← links)
• Consuming durable goods when stock markets jump: a strategic asset allocation approach (Q1994529) ‎ (← links)
• A consumption-investment model with state-dependent lower bound constraint on consumption (Q2166446) ‎ (← links)
• Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan (Q2244246) ‎ (← links)
• Pairs trading with illiquidity and position limits (Q2244254) ‎ (← links)
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) ‎ (← links)
• Managing inventory with proportional transaction costs (Q2299389) ‎ (← links)
• Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) ‎ (← links)
• A unified approach to portfolio optimization with linear transaction costs (Q2433238) ‎ (← links)
• Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. (Q2478407) ‎ (← links)
• Multi-asset investment-consumption model with transaction costs (Q2567303) ‎ (← links)
• Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) ‎ (← links)
• DIFFERENTIAL GAME-THEORETIC THOUGHTS ON OPTION PRICING AND TRANSACTION COSTS (Q2701834) ‎ (← links)
• HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS (Q2814667) ‎ (← links)
• Dynamic liquidation under market impact (Q2994855) ‎ (← links)
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) ‎ (← links)
• UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS (Q3370592) ‎ (← 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)
• Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) ‎ (← links)
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (Q3502128) ‎ (← links)
• OPTIMAL LAG IN DYNAMICAL INVESTMENTS (Q3523539) ‎ (← links)
• TRANSACTION COSTS: A NEW POINT OF VIEW (Q3523576) ‎ (← links)
• Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909) ‎ (← links)
• Investment strategies in the long run with proportional transaction costs and a HARA utility function (Q3623414) ‎ (← links)
• Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation (Q3627693) ‎ (← links)
• User’s guide to viscosity solutions of second order partial differential equations (Q4016740) ‎ (← links)
• FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES (Q4521280) ‎ (← links)
• Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (Q4599715) ‎ (← links)
• Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis (Q4610209) ‎ (← links)
• Optimal tracking for asset allocation with fixed and proportional transaction costs (Q4610230) ‎ (← links)
• INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) ‎ (← links)
• OPTIMAL EXPLOITATION OF RENEWABLE RESOURCES BY THE VISCOSITY SOLUTION METHOD (Q4797319) ‎ (← links)
• On an investment-consumption model with transaction costs: an asymptotic analysis (Q4994412) ‎ (← links)
• OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS (Q5164391) ‎ (← links)
• Optimal portfolio selection under vanishing fixed transaction costs (Q5233203) ‎ (← links)
• General indifference pricing with small transaction costs (Q5278183) ‎ (← links)