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Optimal liquidation under stochastic liquidity

Becherer, Dirk; Bilarev, Todor; Frentrup, Peter - In: Finance and stochastics 22 (2018) 1, pp. 39-68

Persistent link: https://www.econbiz.de/10011945624

Continuous-time Markowitz's model with constraints on wealth and portfolio

Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736

Persistent link: https://www.econbiz.de/10011622222

Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions

Brunovský, Pavol; Černý, Aleš; Komadel, Ján - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1159-1171

Persistent link: https://www.econbiz.de/10011802354

Utility maximization in an illiquid market in continuous time

Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321

Persistent link: https://www.econbiz.de/10011673528

Optimal liquidation trajectories for the Almgren-Chriss model

Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35

Persistent link: https://www.econbiz.de/10012496903

Optimal investment under dual risk model and Markov modulated financial market

Xu, Lin; Zhang, Liming; Zhu, Dongjin - In: Journal of mathematical finance 5 (2015) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011398985

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12

This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...

Persistent link: https://www.econbiz.de/10011857001

Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain

Bellalah, Mondher; Zhang, Detao; Zhang, Panpan - In: Computational economics 56 (2020) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10012272014

Multi-asset worst-case optimal portfolios

Korn, Ralf; Leoff, Elisabeth - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012030905

Portfolio optimization with insider's initial information and counterparty risk

Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134

Persistent link: https://www.econbiz.de/10011417122