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A note on the effects of taxes on optimal investment
Buescu, Cristin; Cadenillas, Abel; Pliska, Stanley R. - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 477-485
Persistent link: https://www.econbiz.de/10003626580
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Optimal investment decisions for a portfolio with a rolling horizon bond and a discount bond
Bielecki, Tomasz R.; Pliska, Stanley R.; Yong, Jiongmin - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 871-914
Persistent link: https://www.econbiz.de/10003206520
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Risk-sensitive portfolio optimization with transaction costs
Bielecki, Tomasz R.; Chancelier, Jean-Philippe; Pliska, … - In: The journal of computational finance 8 (2004) 1, pp. 39-63
Persistent link: https://www.econbiz.de/10002390572
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Continuous-time-mean-variance portfolio selection with bankruptcy prohibition
Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 213-244
Persistent link: https://www.econbiz.de/10002725425
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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Thomas; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 50 (1999) 2, pp. 167-188
Persistent link: https://www.econbiz.de/10001428073
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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
Geman, Hélyette (contributor); Madan, Dilip B. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001597059
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Risk sensitive asset management with transaction costs
Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10001486618
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Risk sensitive asset allocation
Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177
Persistent link: https://www.econbiz.de/10001474593
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Optimal trading of a security when there are taxes and transaction costs
Cadenillas, Abel; Pliska, Stanley R. - In: Finance and stochastics 3 (1999) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10001367012
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Optimal portfolio management with fixed transaction costs
Morton, Andrew J. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 337-356
Persistent link: https://www.econbiz.de/10001189277