Pages that link to "Item:Q1979075"

The following pages link to Risk sensitive asset management with transaction costs (Q1979075):

Displaying 34 items.

• Monte Carlo methods for mean-risk optimization and portfolio selection (Q373169) (← links)
• Abstract, classic, and explicit turnpikes (Q471171) (← links)
• Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach. (Q703140) (← links)
• Investors' preference for a positive tax rate depends on the level of the interest rate (Q926393) (← links)
• Portfolio selection with transaction costs under expected shortfall constraints (Q1031948) (← links)
• Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
• Utility maximisation in a factor model with constant and proportional transaction costs (Q1711719) (← links)
• An approximation scheme for impulse control with random reaction periods (Q1728360) (← links)
• Implicit dynamical systems and quasi variational inequalities (Q1855917) (← links)
• Risk-sensitive control and an optimal investment model. II. (Q1872384) (← links)
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. (Q1872428) (← links)
• Portfolios and risk premia for the long run (Q2428051) (← links)
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS (Q2746235) (← links)
• ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS (Q2968272) (← links)
• (Q3073333) (← links)
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL (Q3126241) (← links)
• MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS (Q3393979) (← links)
• Optimal portfolio policies under fixed and proportional transaction costs (Q3417911) (← links)
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (Q3502128) (← links)
• Risk-sensitive benchmarked asset management (Q3518381) (← links)
• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs (Q3535648) (← links)
• Should Stochastic Volatility Matter to the Cost‐Constrained Investor? (Q4464018) (← links)
• Optimal tracking for asset allocation with fixed and proportional transaction costs (Q4610230) (← links)
• Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls (Q5076703) (← links)
• Analysis of the rebalancing frequency in log-optimal portfolio selection (Q5190136) (← links)
• Risk-Sensitive Asset Management and Cascading Defaults (Q5219291) (← links)
• Optimal portfolio selection under vanishing fixed transaction costs (Q5233203) (← links)
• Long-Term Optimal Investment in Matrix Valued Factor Models (Q5280243) (← links)
• Optimal Asset Allocation with Asymptotic Criteria (Q5696871) (← links)
• Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (Q5869806) (← links)
• Young, timid, and risk takers (Q6054383) (← links)
• Optimal investment for retail investors (Q6054421) (← links)
• Asymptotic analysis of long‐term investment with two illiquid and correlated assets (Q6054437) (← links)
• The solution to an impulse control problem motivated by optimal harvesting (Q6627020) (← links)