Pages that link to "Item:Q2403132"
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The following pages link to Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion (Q2403132):
Displaying 17 items.
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
- Robust utility maximisation in markets with transaction costs (Q1999599) (← links)
- High-frequency trading with fractional Brownian motion (Q2022763) (← links)
- Properly discounted asset prices are semimartingales (Q2024115) (← links)
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
- Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
- Log-optimal and rapid paths in von Neumann-Gale dynamical systems (Q2326016) (← links)
- Affine representations of fractional processes with applications in mathematical finance (Q2419969) (← links)
- Semimartingale price systems in models with transaction costs beyond efficient friction (Q2675819) (← links)
- Shadow price approximation for the fractional Black Scholes model (Q2693249) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions (Q4594521) (← links)
- Trading Fractional Brownian Motion (Q4971980) (← links)
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
- Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (Q5869806) (← links)
- Optimal investment for retail investors (Q6054421) (← links)
