Pages that link to "Item:Q5283399"
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The following pages link to SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399):
Displayed 14 items.
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648) (← links)
- Robust utility maximisation in markets with transaction costs (Q1999599) (← links)
- Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781) (← links)
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
- Log-optimal and rapid paths in von Neumann-Gale dynamical systems (Q2326016) (← links)
- Optimal investment with random endowments and transaction costs: duality theory and shadow prices (Q2422170) (← links)
- Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
- Shadow price approximation for the fractional Black Scholes model (Q2693249) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios (Q5013831) (← links)
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost (Q6048447) (← links)