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A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
Zhang, Wei-guo; Zhang, Xi-li; Xu, Wei-jun - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 493-499
Persistent link: https://www.econbiz.de/10003981146
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Asymptotic analysis for target asset portfolio allocation with small transaction costs
Liu, Cong; Zheng, Harry - In: Insurance / Mathematics & economics 66 (2016), pp. 59-68
Persistent link: https://www.econbiz.de/10011442683
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Hysteresis bands on returns, holding period and transaction costs
Delgado, Francisco; Dumas, Bernard; Puopolo, Giovanni W. - In: Journal of banking & finance 57 (2015), pp. 86-100
Persistent link: https://www.econbiz.de/10011543798
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The role of correlation dynamics in sector allocation
Kalotychou, Elena; Staikouras, Sotiris K.; Zhao, Gang - In: Journal of banking & finance 48 (2014), pp. 1-12
Persistent link: https://www.econbiz.de/10010506948
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Performance evaluation of optimized portfolio insurance strategies
Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of banking & finance 43 (2014), pp. 212-225
Persistent link: https://www.econbiz.de/10010410003
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Optimal proportional reinsurance and investment with transaction costs, Teil 1 : maximizing the terminal wealth
Zhang, Xin-li; Zhang, Ke-cun; Yu, Xing-jiang - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 473-478
Persistent link: https://www.econbiz.de/10009517616
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Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
Zhang, Wei-guo; Zhang, Xili; Chen, Yunxia - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 353-360
Persistent link: https://www.econbiz.de/10009404709
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On the optimal selection of portfolios under limited diversification
Sankaran, Jayaram K.; Patil, Ajay A. - In: Journal of banking & finance 23 (1999) 11, pp. 1655-1666
Persistent link: https://www.econbiz.de/10001415167
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Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard - In: Insurance / Mathematics & economics 93 (2020), pp. 315-332
Persistent link: https://www.econbiz.de/10012294138
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On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; … - In: Insurance / Mathematics & economics 72 (2017), pp. 148-162
Persistent link: https://www.econbiz.de/10011694419