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Portfolio-optimization models...
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Kabanov, Jurij M.
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Finance and stochastics
NBER working paper series
612
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Finance research letters
488
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ECONIS (ZBW)
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1
Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel
;
Kabanov, Jurij M.
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
Saved in:
2
Multivariate utility maximization with proportional transaction costs
Campi, Luciano
;
Owen, Mark P.
- In:
Finance and stochastics
15
(
2011
)
3
,
pp. 461-499
Persistent link: https://www.econbiz.de/10009303226
Saved in:
3
Asymptotics for fixed transaction costs
Altarovici, Albert Michael
;
Muhle-Karbe, Johannes
; …
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 363-414
Persistent link: https://www.econbiz.de/10011418150
Saved in:
4
Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald
;
Lépinette, Emmanuel
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
Saved in:
5
The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan
;
Muhle-Karbe, Johannes
;
Schachermayer, …
- In:
Finance and stochastics
17
(
2013
)
2
,
pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
Saved in:
6
Transaction costs, trading volume, and the liquidity premium
Gerhold, Stefan
;
Guasoni, Paolo
;
Muhle-Karbe, Johannes
; …
- In:
Finance and stochastics
18
(
2014
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10010235459
Saved in:
7
Robust hedging with proportional transaction costs
Dolinsky, Yan
;
Soner, Halil Mete
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
Saved in:
8
Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu
;
Fukasawa, Masaaki
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
Saved in:
9
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
Saved in:
10
FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn
;
Smaga, Martin
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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