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Optimal portfolios of a small investor in a limit order market : a shadow price approach
Kühn, Christoph; Stroh, Maximilian - In: Mathematics and financial economics 3 (2010) 2, pp. 45-72
Persistent link: https://www.econbiz.de/10003983165
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The opportunity cost of holding a "naive" portfolio
Melkumian, Alice A. - In: The journal of economics 38 (2012) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10009623125
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The opportunity cost of mean-variance choice under estimation risk
Simaan, Yusif E. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 382-391
Persistent link: https://www.econbiz.de/10010356752
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Is more always better? : empirical evidence on optimal portfolio size
Melkumian, Alla A.; Melkumian, Arsen V. - In: Eastern economic journal 35 (2009) 1, pp. 84-95
Persistent link: https://www.econbiz.de/10003817986
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The shadow price of liquidity in asset allocation : a case study
Van Luu, Bac; Sharaiha, Yazid M.; Doskov, Nikolay; … - In: Journal of investment management : JOIM 12 (2014) 2, pp. 14-31
Persistent link: https://www.econbiz.de/10010388914
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Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints
Detemple, Jérôme B.; Rindisbacher, Marcel - In: Mathematical finance : an international journal of … 15 (2005) 4, pp. 539-568
Persistent link: https://www.econbiz.de/10003121127
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Using compromise programming in a stock market pricing model
Ballestero, Enrique - In: Research and practice in multiple criteria decision …, (pp. 388-399). 2000
Persistent link: https://www.econbiz.de/10001498022
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Optimal portfolio choice and the valuation of illiquid securities
Longstaff, Francis A. - In: The review of financial studies 14 (2001) 2, pp. 407-431
Persistent link: https://www.econbiz.de/10001570570
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Intertemporal Constraints, Shadow Prices, and Financial Asset Values
Chirinko, Robert S. - 2010
The conditions under which the unobserved shadow price of capital can be equated to the financial value of the firm have been developed in an important paper by Hayashi (1982). Employing a more powerful analytic method, this paper reexamines the shadow price- asset value relation in a model with...
Persistent link: https://www.econbiz.de/10012763045
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Optimal Investment with Random Endowments and Transaction Costs : Duality Theory and Shadow Prices
Bayraktar, Erhan - 2016
maximization problem are established using the convex duality analysis. As an important application of the duality theory, we …
Persistent link: https://www.econbiz.de/10012992334