Similar Search Results

Risk sensitive asset management with transaction costs

Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10008217592

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. 137-166

Persistent link: https://www.econbiz.de/10008218079

Optimal Portfolio Management With Fixed Transaction Costs

Morton, Andrew J.; Pliska, Stanley R. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 337-356

Persistent link: https://www.econbiz.de/10008223456

Optimal life insurance purchase and consumption-investment under uncertain lifetime

Pliska, Stanley R.; Ye, Jinchun - In: Journal of banking & finance 31 (2007) 5, pp. 1307-1320

Persistent link: https://www.econbiz.de/10007724986

A three-factor valuation model for mortgage-backed securities (MBS)

Kariya, Takeaki; Ushiyama, Fumiaki; Pliska, Stanley R. - In: Managerial finance 37 (2011) 11, pp. 1068-1088

Persistent link: https://www.econbiz.de/10009330247

OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS

Morton, Andrew J.; Pliska, Stanley R. - In: Mathematical Finance 5 (1995) 4, pp. 337-356

We study optimal portfolio management policies for an investor who must pay a transaction cost equal to a fixed Traction of his portfolio value each time he trades. We focus on the infinite horizon objective function of maximizing the asymptotic growth rate, so me optimal policies we derive...

Persistent link: https://www.econbiz.de/10008521905

Risk sensitive asset allocation

Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1178

Persistent link: https://www.econbiz.de/10006777459

Risk sensitive asset allocation

Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of Economic Dynamics and Control 24 (2000) 8, pp. 1145-1177

Persistent link: https://www.econbiz.de/10005107252

A martingale characterization of the price of a nonrenewable resource with decisions involving uncertainty

Deshmukh, Sudhakar D.; Pliska, Stanley R. - In: Journal of Economic Theory 35 (1985) 2, pp. 322-342

Persistent link: https://www.econbiz.de/10005159753

CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical Finance 15 (2005) 2, pp. 213-244

Persistent link: https://www.econbiz.de/10005193377