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  • Search: subject:"discontinuous viscosity solutions"
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Year of publication
Subject
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Discontinuous viscosity solutions 2 Portfolio selection 2 Comparison principle 1 Impulse control 1 Liquidity risk 1 Portfolio optimisation 1 Portfolio-Management 1 State constraint 1 Stochastic Perron method 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Transaction costs 1 Transaktionskosten 1 discontinuous viscosity solutions 1 mixed diffusion process 1 quantile hedging 1 stochastic target problem 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2 Undetermined 1
Author
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Belak, Christoph 1 Christensen, Sören 1 Mnif, Mohamed 1 Moreau, Ludovic 1 Pham, Huyên 1 Vath, Vathana Ly 1
Institution
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HAL 1
Published in...
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Finance and Stochastics 1 Finance and stochastics 1 Post-Print / HAL 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Utility maximisation in a factor model with constant and proportional transaction costs
Belak, Christoph; Christensen, Sören - In: Finance and stochastics 23 (2019) 1, pp. 29-96
Persistent link: https://www.econbiz.de/10012023241
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Stochastic target problems with controlled loss in jump diffusion models
Moreau, Ludovic - HAL - 2011
In this paper, we consider a mixed diffusion version of the stochastic target problem introduced by Bouchard et al. (2009). This consists in finding the minimum initial value of a controlled process which guarantees to reach a controlled stochastic target with a given lovel of expected loss. As...
Persistent link: https://www.econbiz.de/10009651556
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A model of optimal portfolio selection under liquidity risk and price impact
Vath, Vathana Ly; Mnif, Mohamed; Pham, Huyên - In: Finance and Stochastics 11 (2007) 1, pp. 51-90
Persistent link: https://www.econbiz.de/10005613453
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