Pages that link to "Item:Q1336583"

The following pages link to Optimal investment and consumption with transaction costs (Q1336583):

Displaying 50 items.

• Optimal consumption of a divisible durable good (Q1606182) (← links)
• Optimal singular control strategies for controlling a process to a goal. (Q1613635) (← links)
• An optimal strategy for pairs trading under geometric Brownian motions (Q1626514) (← links)
• Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance (Q1644203) (← links)
• Superhedging under ratio constraint (Q1657512) (← links)
• Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
• Optimal investment with transaction costs under cumulative prospect theory in discrete time (Q1687370) (← links)
• Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
• Optimal rebalancing frequencies for multidimensional portfolios (Q1744200) (← links)
• Liquidity shocks and equilibrium liquidity premia. (Q1810698) (← links)
• On the pricing of contingent claims under constraints (Q1814741) (← links)
• Dynamic programming for multidimensional stochastic control problems (Q1819110) (← links)
• Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
• Optimal investment with transaction costs and without semimartingales (Q1872364) (← links)
• A diffusion approximation model for managing cash in firms: an alternative approach to the Miller-Orr model (Q1877037) (← links)
• Asymptotic analysis of optimal investment and consumption with transaction costs. (Q1887271) (← links)
• A geometric approach to portfolio optimization in models with transaction costs (Q1887272) (← links)
• Numerical schemes for investment models with singular transactions (Q1890892) (← links)
• Merton problem in a discrete market with frictions (Q1926415) (← links)
• Futures trading with transaction costs (Q1928878) (← links)
• Optimal portfolios of a small investor in a limit order market: a shadow price approach (Q1932532) (← links)
• Leverage management (Q1932537) (← links)
• Curve following in illiquid markets (Q1932555) (← links)
• Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) (← links)
• The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
• Consumption-investment problems with transaction costs: Survey and open problems (Q1974021) (← links)
• Ambiguity premium and transaction costs (Q1984415) (← links)
• Consuming durable goods when stock markets jump: a strategic asset allocation approach (Q1994529) (← links)
• A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
• The self-financing equation in limit order book markets (Q1999602) (← links)
• Switching between a pair of stocks: an optimal trading rule (Q2001567) (← links)
• An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
• Markov decision processes with quasi-hyperbolic discounting (Q2022761) (← links)
• Robust portfolio selection for individuals: minimizing the probability of lifetime ruin (Q2031384) (← links)
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (Q2112716) (← links)
• Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
• MFGs for partially reversible investment (Q2145812) (← links)
• A consumption-investment model with state-dependent lower bound constraint on consumption (Q2166446) (← links)
• Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies (Q2190061) (← links)
• Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
• Markov selection for constrained martingale problems (Q2279331) (← links)
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns (Q2288946) (← links)
• Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
• Asymptotics for fixed transaction costs (Q2339123) (← links)
• Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
• Merton problem in an infinite horizon and a discrete time with frictions (Q2358298) (← links)
• Investment and consumption in regime-switching models with proportional transaction costs and log utility (Q2360794) (← links)
• Arbitrage theory for non convex financial market models (Q2403708) (← links)
• A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)