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subject:"Portfolio selection"
~source:"econis"
~subject:"Cost function"
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Search: subject_exact:"Duales Optimierungsproblem"
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Portfolio selection
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Dual optimization problem
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Duales Optimierungsproblem
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Optimal investment problem under behavioral setting : a Lagrange duality perspective
Bi, Xiuchun
;
Cui, Zhenyu
;
Fan, Jiacheng
;
Yuan, Lvning
; …
- In:
Journal of economic dynamics & control
156
(
2023
),
pp. 1-31
Persistent link: https://www.econbiz.de/10014480345
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2
Exponential distance function and duality theory
Briec, Walter
;
Fukuyama, Hirofumi
;
Ravelojaona, Paola
- In:
European journal of operational research : EJOR
293
(
2021
)
3
,
pp. 1002-1014
Persistent link: https://www.econbiz.de/10012533798
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3
Directional distance functions and social welfare : some axiomatic and dual properties
Briec, Walter
;
Dumas, Audrey
;
Mekki, Ayman
- In:
Mathematical social sciences
113
(
2021
),
pp. 181-190
Persistent link: https://www.econbiz.de/10013275534
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4
Utility maximization with proportional transaction costs under model uncertainty
Deng, Shuoqing
;
Tan, Xiaolu
;
Yu, Xiang
- In:
Mathematics of operations research
45
(
2020
)
4
,
pp. 1210-1236
Persistent link: https://www.econbiz.de/10012319659
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5
On constant elasticity of substitution : constant elasticity of transformation directional distance functions
Ravelojaona, Paola
- In:
European journal of operational research : EJOR
272
(
2019
)
2
,
pp. 780-791
Persistent link: https://www.econbiz.de/10011942410
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6
Optimal investment with random endowments and transaction costs : duality theory and shadow prices
Bayraktar, Erhan
;
Yu, Xiang
- In:
Mathematics and financial economics
13
(
2019
)
2
,
pp. 253-286
Persistent link: https://www.econbiz.de/10012055802
Saved in:
7
Convex duality for Epstein-Zin stochastic differential utility
Matoussi, Anis
;
Xing, Hao
- In:
Mathematical finance : an international journal of …
28
(
2018
)
4
,
pp. 991-1019
Persistent link: https://www.econbiz.de/10012166994
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8
A set optimization approach to utility maximization under transaction costs
Hamel, Andreas
;
Calder-Wang, Sophie
- In:
Decisions in economics and finance : DEF ; a journal of …
40
(
2017
)
1/2
,
pp. 257-275
Persistent link: https://www.econbiz.de/10011997740
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9
Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun
;
Yi, Lan
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
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10
Asymptotic theory of transaction costs
Schachermayer, Walter
-
2017
Persistent link: https://www.econbiz.de/10011763489
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