Pages that link to "Item:Q1336583"
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The following pages link to Optimal investment and consumption with transaction costs (Q1336583):
Displaying 50 items.
- Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation (Q3627693) (← links)
- A singular stochastic control problem in an unbounded domain (Q4313779) (← links)
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time (Q4407161) (← links)
- A Stochastic Approximation Approach for Trend-Following Trading (Q4562480) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- Rebalancing with Linear and Quadratic Costs (Q4591242) (← links)
- Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon (Q4596857) (← 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)
- Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon (Q4614937) (← links)
- Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations (Q4619542) (← links)
- On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control<sup>†</sup> (Q4648585) (← links)
- Maximizing survival, growth and goal reaching under borrowing constraints (Q4683118) (← links)
- On a Class of Path-Dependent Singular Stochastic Control Problems (Q4684782) (← links)
- Conic quantization: stochastic volatility and market implied liquidity (Q4991041) (← links)
- Optimal multi-asset trading with linear costs: a mean-field approach (Q4991066) (← links)
- Pairs Trading under Geometric Brownian Motion Models (Q5050093) (← links)
- Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model (Q5055305) (← links)
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection (Q5080645) (← links)
- Optimal asset allocation with restrictions on liquidity (Q5097432) (← links)
- Optimal consumption and investment with liquid and illiquid assets (Q5109978) (← links)
- Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model (Q5123453) (← links)
- Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network (Q5139230) (← links)
- SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS (Q5207494) (← links)
- Optimal portfolio selection under vanishing fixed transaction costs (Q5233203) (← links)
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310) (← links)
- LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS (Q5245889) (← links)
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (Q5247420) (← links)
- Optimal Execution with Multiplicative Price Impact (Q5250046) (← links)
- Optimal Consumption and Investment with Fixed and Proportional Transaction Costs (Q5266527) (← links)
- General indifference pricing with small transaction costs (Q5278183) (← links)
- THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)
- Time-Inconsistent Portfolio Investment Problems (Q5374163) (← links)
- Dynamic portfolio selection with nonlinear transaction costs (Q5428305) (← links)
- OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS (Q5483508) (← links)
- Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing (Q5505153) (← links)
- Polynomial Approximation to Option Prices under Regime Switching (Q5742644) (← links)
- The limits of leverage (Q5743123) (← links)
- Portfolio Selection with Transaction Costs (Q5749130) (← links)
- Realization Utility with Path-Dependent Reference Points (Q5868797) (← links)
- Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (Q5869806) (← links)
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients (Q5878540) (← links)
- Arbitrage and control problems in finance. A presentation (Q5939293) (← links)
- On optimal terminal wealth under transaction costs (Q5939296) (← links)
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs (Q5939297) (← links)
- Special issue: Arbitrage and control problems in finance (Q5939302) (← links)
- Penalty method for portfolio selection with capital gains tax (Q6054372) (← links)
- Optimal investment for retail investors (Q6054421) (← links)
- Asymptotic analysis of long‐term investment with two illiquid and correlated assets (Q6054437) (← links)
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case (Q6078432) (← links)
