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Portfolio optimization with strictly positive transaction costs and impulse control

Korn, Ralf - 1994

Persistent link: https://www.econbiz.de/10000903142

Optimal cash management for equity index tracking in the presence of fixed and proportional transaction costs

Buckley, I. R. C. - 1997

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Optimal index tracking under transaction costs and impulse control

Buckley, I. R. C. - In: International journal of theoretical and applied finance 1 (1998) 3, pp. 315-330

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Portfolio optimisation with strictly positive transaction costs and impulse control

Korn, Ralf - In: Finance and stochastics 2 (1998) 2, pp. 85-114

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Portfoliooptimierung im Binomialmodell

Kröner, Henriette - 2014

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The swing option on the stock market

Dahlgren, Martin; Korn, Ralf - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 123-139

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Trading to stops : the investigation of state-based stopping rules

Imkeller, Nora - 2013

The use of trading stops is a common practice in financial markets for a variety of reasons: it provides a simple way to control losses on a given trade, while also ensuring that profit-taking is not deferred indefinitely; and it allows opportunities to consider reallocating resources to other...

Persistent link: https://www.econbiz.de/10010209394

Option pricing and portfolio optimization : modern methods of financial mathematics

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Value preserving portfolio strategies and the minimal martingale measure

Korn, Ralf - 1996

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Optimal portfolios with bounded value-at-risk

Klüppelberg, Claudia; Korn, Ralf - 1998

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