Pages that link to "Item:Q1887271"

The following pages link to Asymptotic analysis of optimal investment and consumption with transaction costs. (Q1887271):

Displaying 50 items.

• Leverage management in a bull-bear switching market (Q311005) (← links)
• A note on finite horizon optimal investment and consumption with transaction costs (Q316893) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
• A dynamic equilibrium model of imperfectly integrated financial markets (Q472216) (← links)
• A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585) (← links)
• Shadow price in the power utility case (Q748318) (← links)
• Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330) (← links)
• A computational scheme for optimal investment - consumption with proportional transaction costs (Q1017027) (← links)
• Existence of a Radner equilibrium in a model with transaction costs (Q1670390) (← links)
• Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
• Optimal rebalancing frequencies for multidimensional portfolios (Q1744200) (← links)
• Futures trading with transaction costs (Q1928878) (← links)
• The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
• A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
• Trading with small nonlinear price impact (Q2192738) (← links)
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
• Asymptotics for fixed transaction costs (Q2339123) (← links)
• Optimal liquidity provision (Q2348293) (← links)
• Investment and consumption in regime-switching models with proportional transaction costs and log utility (Q2360794) (← links)
• A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
• Simple bounds for utility maximization with small transaction costs (Q2668493) (← links)
• Benefits of fluctuating exchange rates on the investor's wealth (Q2676205) (← links)
• Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
• Asymptotic analysis for Merton's problem with transaction costs in power utility case (Q2811107) (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
• Homogenization and asymptotics for small transaction costs (Q2862451) (← links)
• Utility maximization trading two futures with transaction costs (Q2873119) (← links)
• Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process (Q2874727) (← links)
• Optimal investment with transaction costs and dividends for an insurer (Q2954353) (← links)
• Optimal investment in the foreign exchange market with proportional transaction costs (Q3005820) (← links)
• Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
• Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← links)
• Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) (← links)
• Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (Q3467559) (← links)
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (Q3502128) (← links)
• Investment strategies in the long run with proportional transaction costs and a HARA utility function (Q3623414) (← 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)
• INVESTING WITH LIQUID AND ILLIQUID ASSETS (Q4635034) (← links)
• Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs (Q4902221) (← links)
• Optimal Switching between Locking Down and Opening the Economy Because of an Infection (Q5013556) (← links)
• Von Neumann–Gale model, market frictions and capital growth (Q5086629) (← 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)
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (Q5488977) (← links)
• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients (Q5878540) (← links)