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Test for trading costs effect in a portfolio selection problem with recursive utility
Carrasco, Marine; Koné, N'Golo - 2024
Persistent link: https://www.econbiz.de/10015338758
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Mean-variance portfolio selection with estimation risk and transaction costs
Mei, Xiaoling; Zhu, Huanjun; Chen, Chongzhu - In: Applied economics 55 (2023) 13, pp. 1436-1453
Persistent link: https://www.econbiz.de/10013554924
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Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313
Persistent link: https://www.econbiz.de/10014370659
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High-dimensional portfolio optimization with transaction costs
Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
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Investing with liquid and illiquid assets
Bichuch, Maxim; Guasoni, Paolo - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 119-152
Persistent link: https://www.econbiz.de/10011969098
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Implicit transaction costs and the fundamental theorems of asset pricing
Allaj, Erindi - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-39
Persistent link: https://www.econbiz.de/10011686967
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Risk constraints for portfolio optimization with fixed-fee transaction cost
Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112
Persistent link: https://www.econbiz.de/10011668136
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Portfolio selection in discrete time with transaction costs and power utility function : a perturbation analysis
Quek, Gary; Atkinson, Colin - In: Applied mathematical finance 24 (2017) 1/2, pp. 77-111
Persistent link: https://www.econbiz.de/10011746994
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Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints
Baccarin, Stefano; Marazzin, Daniele - In: IMA journal of management mathematics 27 (2016) 4, pp. 471-504
Persistent link: https://www.econbiz.de/10011739919
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Scaled and stable mean-variance-EVaR portfolio selection strategy with proportional transaction costs
Mills, Ebenezer Atta; Yu, Bo; Yu, Jie - In: Journal of business economics and management 18 (2017) 4, pp. 561-584
Persistent link: https://www.econbiz.de/10011780733