Narrow search
Showing 1 - 10 of 10,631
Cover Image
Existence of shadow prices in finite probability spaces
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical Methods of Operations Research 73 (2011) 2, pp. 251-262
A shadow price is a process <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$${\widetilde{S}}$$</EquationSource> </InlineEquation> lying within the bid/ask prices <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$${\underline{S},\overline{S}}$$</EquationSource> </InlineEquation> of a market with proportional transaction costs, such that maximizing expected utility from consumption in the frictionless market with price process <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$${\widetilde{S}}$$</EquationSource> </InlineEquation> leads...</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>
Persistent link: https://www.econbiz.de/10010999895
Cover Image
Too much of a good thing? : alliance portfolio size and alliance expansion
Pangarkar, Nitin; Yuan, Lin; Hussain, Sairah - In: European management journal 35 (2017) 4, pp. 477-485
Persistent link: https://www.econbiz.de/10011746212
Cover Image
Harmful diversification : evidence from alternative investments
Platanakis, Emmanouil; Sakkas, Athanasios; Sutcliffe, … - In: The British accounting review : the journal of the … 51 (2019) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011998174
Cover Image
Optimal trade execution with uncertain volume target
Vaes, Julien; Hauser, Raphael A. - In: The journal of computational finance 26 (2022) 1, pp. 37-80
Persistent link: https://www.econbiz.de/10014546277
Cover Image
Exhaustibility and risk as asset class dimensions : a social investor approach to capital-resource economies
Kakeu, Johnson - In: Environmental & resource economics : the official … 65 (2016) 4, pp. 677-695
Persistent link: https://www.econbiz.de/10011649122
Cover Image
Optimal investment with random endowments and transaction costs : duality theory and shadow prices
Bayraktar, Erhan; Yu, Xiang - In: Mathematics and financial economics 13 (2019) 2, pp. 253-286
Persistent link: https://www.econbiz.de/10012055802
Cover Image
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter - In: Finance and stochastics 22 (2018) 1, pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
Cover Image
Opportunity cost management in project portfolio selection with divisibility
Zhong, Zhiming; Lia, Xingmei; Liua, Xiaoyan; Lau, William - In: Journal of the Operational Research Society 70 (2019) 7, pp. 1164-1178
Persistent link: https://www.econbiz.de/10012213629
Cover Image
Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach
Mariani, Francesca; Recchioni, Maria Cristina; Ciommi, … - In: European journal of operational research : EJOR 275 (2019) 3, pp. 1178-1189
Persistent link: https://www.econbiz.de/10011993680
Cover Image
Are intermediary constraints priced?
Du, Wenxin; Hébert, Benjamin; Huber, Amy Wang - In: The review of financial studies 36 (2023) 4, pp. 1464-1507
Persistent link: https://www.econbiz.de/10014320525