Pages that link to "Item:Q5749130"

The following pages link to Portfolio Selection with Transaction Costs (Q5749130):

Displaying 50 items.

• An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes (Q990425) (← links)
• Optimal investment strategies with a reallocation constraint (Q992044) (← links)
• Minimizing the probability of lifetime ruin under borrowing constraints (Q997099) (← links)
• Existence of optimal controls for singular control problems with state constraints (Q997426) (← links)
• Optimal lifetime consumption and investment under a drawdown constraint (Q1003344) (← links)
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096) (← links)
• A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027) (← links)
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data (Q1022953) (← links)
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) (← links)
• Annuitization and asset allocation (Q1027412) (← 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)
• Option hedging theory under transaction costs (Q1042722) (← links)
• Optimal cash management under uncertainty (Q1043253) (← links)
• Super contact and related optimality conditions (Q1177286) (← links)
• Multi-period minimax hedging strategies (Q1268215) (← links)
• Strategic financial risk management and operations research (Q1278574) (← links)
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (Q1294549) (← links)
• Call option pricing and replication under economic friction (Q1296020) (← links)
• Option replication with transaction costs: general diffusion limits (Q1296601) (← links)
• Singular optimal strategies for investment with transaction costs (Q1296728) (← links)
• Optimal stochastic intervention control with application to the exchange rate (Q1300406) (← links)
• Valuing flexibility: An impulse control framework (Q1313148) (← links)
• Labor income, borrowing constraints, and equilibrium asset prices (Q1341465) (← links)
• Computational aspects in applied stochastic control (Q1342439) (← links)
• Variational inequalities for international general financial equilibrium modeling and computation (Q1362217) (← links)
• Asset allocation with time variation in expected returns (Q1381452) (← links)
• Optimal delta-hedging under transactions costs (Q1391437) (← links)
• Solving long-term financial planning problems via global optimization (Q1391442) (← links)
• Hedging in incomplete markets with HARA utility (Q1391763) (← links)
• Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints (Q1575404) (← links)
• The demand for risky assets: Sample selection and household portfolios (Q1580342) (← links)
• Optimal consumption of a divisible durable good (Q1606182) (← links)
• An optimal strategy for pairs trading under geometric Brownian motions (Q1626514) (← links)
• The stochastic maximum principle in singular optimal control with recursive utilities (Q1633566) (← links)
• Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance (Q1644203) (← links)
• Money and velocity during financial crises: from the Great Depression to the Great Recession (Q1655598) (← links)
• Superhedging under ratio constraint (Q1657512) (← links)
• Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
• Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls (Q1666836) (← links)
• Existence of a Radner equilibrium in a model with transaction costs (Q1670390) (← links)
• Optimal investment with transaction costs under cumulative prospect theory in discrete time (Q1687370) (← links)
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689) (← links)
• Optimal investment and consumption when allowing terminal debt (Q1698925) (← links)
• Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
• Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648) (← links)
• European option pricing with transaction costs in Lévy jump environment (Q1724293) (← links)
• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality (Q1731857) (← links)
• Optimal rebalancing frequencies for multidimensional portfolios (Q1744200) (← links)