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Consumption-investment optimization problem in a Lévy financial model with transaction costs and làdlàg strategies
Lepinette, E.; Tran, T. Q. - In: Mathematics and financial economics 14 (2020) 3, pp. 399-431
Persistent link: https://www.econbiz.de/10012240301
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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
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Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Chandra, Shiva; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-18
Persistent link: https://www.econbiz.de/10012153330
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Option pricing and hedging with execution costs and market impact
Guéant, Olivier; Pu, Jiang - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
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A theoretical model of jump diffusion-mean reversion : constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor
Chakrabarty, Anindya; Luo, Zongwei; Dubey, Rameshwar; … - In: Business process management journal 23 (2017) 3, pp. 537-554
Persistent link: https://www.econbiz.de/10011744467
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Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
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An LP approach to synthetic option replication with transaction costs and multiple security selection
Dennis, Patrick - In: Advances in futures and options research : a research annual 8 (1995), pp. 53-84
Persistent link: https://www.econbiz.de/10001211317
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Valuation of options on several risky assets when there are transactions costs
Boyle, Phelim P. - In: Advances in futures and options research : a research annual 9 (1997), pp. 111-127
Persistent link: https://www.econbiz.de/10001226768
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Stochastic portfolio optimization with proportional transaction costs : convex reformulations and computational experiments
Filomena, Tiago P.; Lejeune, Miguel A. - In: Operations research letters 40 (2012) 3, pp. 212-217
Persistent link: https://www.econbiz.de/10009546517
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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