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11
Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach
Mariani, Francesca
;
Recchioni, Maria Cristina
;
Ciommi, …
- In:
European journal of operational research : EJOR
275
(
2019
)
3
,
pp. 1178-1189
Persistent link: https://www.econbiz.de/10011993680
Saved in:
12
Opportunity cost management in project portfolio selection with divisibility
Zhong, Zhiming
;
Lia, Xingmei
;
Liua, Xiaoyan
;
Lau, William
- In:
Journal of the Operational Research Society
70
(
2019
)
7
,
pp. 1164-1178
Persistent link: https://www.econbiz.de/10012213629
Saved in:
13
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Czichowsky, Christoph
;
Peyre, Rémi
;
Schachermayer, Walter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
Saved in:
14
Rebalancing-diversification return : the opportunity cost of illiquid investments
Linder, John
- In:
The journal of investing
27
(
2018
)
2
,
pp. 57-65
Persistent link: https://www.econbiz.de/10011932367
Saved in:
15
Utility maximization in a binomial model with transaction costs : a duality approach based on the shadow price process
Bayer, Christian
;
Veliyev, Bezirgen
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010391519
Saved in:
16
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
Saved in:
17
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
Saved in:
18
Pension funds under investment constraints : an assessment of the opportunity cost to the Greek social security system
Milonas, Nikolaos T.
;
Papachristou, George A.
;
Roupas, …
- In:
Pension fund risk management : financial and actuarial …
,
(pp. 637-658)
.
2010
Persistent link: https://www.econbiz.de/10003938270
Saved in:
19
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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20
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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