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Some new aspects of optimal portfolios and option pricing
Krekel, Martin (contributor) - 2003
Persistent link: https://www.econbiz.de/10001790257
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Derivate, Arbitrage und Portfolio-Selection : stochastische Finanzmarktmodelle und ihre Anwendungen
Hausmann, Wilfried; Diener, Kathrin; Käsler, Joachim - 2002 - 1. Auflage
Persistent link: https://www.econbiz.de/10014012257
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Asymptotic analysis for target asset portfolio allocation with small transaction costs
Liu, Cong; Zheng, Harry - In: Insurance / Mathematics & economics 66 (2016), pp. 59-68
Persistent link: https://www.econbiz.de/10011442683
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Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu; Fukasawa, Masaaki - In: Finance and stochastics 20 (2016) 2, pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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Numeraire portfolios and utility-based price systems under proportional transaction costs
Sass, Jörn; Schäl, Manfred - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 195-234
Persistent link: https://www.econbiz.de/10010412499
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On the quasi-sure superhedging duality with frictions
Bayraktar, Erhan; Burzoni, Matteo - In: Finance and stochastics 24 (2020) 1, pp. 249-275
Persistent link: https://www.econbiz.de/10012253347
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Optimal investment strategy with dividend paying and proportional transaction costs
Nkeki, Charles I. - In: Annals of financial economics 13 (2018) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10011900656
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Aggregating exponential gradient expert advice for online portfolio selection under transaction costs
Zhang, Yong; Li, Jiahao; Yang, Xingyu; Lin, Hong - In: Journal of the Operational Research Society 74 (2023) 8, pp. 1940-1953
Persistent link: https://www.econbiz.de/10014336394
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Connections between discrete-time and continuous-time financial models
Sun, Tong-sheng - 1987
Persistent link: https://www.econbiz.de/10000167721