Pages that link to "Item:Q1781148"

The following pages link to Portfolio optimization under transaction costs in the CRR model (Q1781148):

Displaying 17 items.

• Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
• Maximization of the portfolio growth rate under fixed and proportional transaction costs (Q937351) (← links)
• No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach (Q1616836) (← links)
• Portfolio optimization model with transaction costs. (Q1862932) (← links)
• A geometric approach to portfolio optimization in models with transaction costs (Q1887272) (← links)
• Primal-dual methods for the computation of trading regions under proportional transaction costs (Q1939506) (← links)
• A discrete stochastic model for investment with an application to the transaction costs case (Q1975171) (← links)
• Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
• Efficient portfolios in financial markets with proportional transaction costs (Q2392017) (← links)
• On level curves of value functions in optimization models of expected utility. (Q2707154) (← links)
• Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs (Q2786210) (← links)
• Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process (Q2874727) (← links)
• Optimal portfolio policies under fixed and proportional transaction costs (Q3417911) (← links)
• Optimality of replication in the CRR model with transaction costs (Q4386249) (← links)
• Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis (Q4610209) (← links)
• PRICING OF EUROPEAN AND AMERICAN CLAIMS IN THE CRR MODEL WITH FIXED PLUS - CONCAVE TRANSACTION COSTS (Q4824803) (← links)
• Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations (Q6576843) (← links)