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Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
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Stochastic liquidity as a proxy for nonlinear price impact
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Operations research 72 (2024) 2, pp. 444-458
Persistent link: https://www.econbiz.de/10014520747
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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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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
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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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Optimal dividend problem with a nonlinear regular-singular stochastic control
Chen, Mi; Peng, Xiaofan; Guo, Junyi - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 448-456
Persistent link: https://www.econbiz.de/10009763629
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Modelling optimal execution strategies for algorithmic trading
Damian, Virgil - In: Theoretical and applied economics : GAER review 22 (2015) 4, pp. 99-104
Persistent link: https://www.econbiz.de/10011559331
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Optimal savings management for individuals with defined contribution pension plans
Konicz, Agnieszka Karolina; Mulvey, John M. - In: European journal of operational research : EJOR 243 (2015) 1, pp. 233-247
Persistent link: https://www.econbiz.de/10010492965