Portfolio Choice with Transaction Costs: A User’s Guide
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Publication:2847837
DOI10.1007/978-3-319-00413-6_3zbMath1275.91122arXiv1207.7330OpenAlexW3122031304MaRDI QIDQ2847837
Johannes Muhle-Karbe, Paolo Guasoni
Publication date: 11 September 2013
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.7330
Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (16)
Dynamic mean-variance problem with frictions ⋮ Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition ⋮ Long Time Asymptotics for Optimal Investment ⋮ Homotopy analysis method for portfolio optimization problem under the 3/2 model ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment ⋮ A multi-asset investment and consumption problem with transaction costs ⋮ The self-financing equation in limit order book markets ⋮ Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations ⋮ Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment ⋮ Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets
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