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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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On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Rochlin, Dmitri B. - In: Finance and stochastics 17 (2013) 4, pp. 819-839
Persistent link: https://www.econbiz.de/10010190873
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On the existence of shadow prices
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; … - In: Finance and stochastics 17 (2013) 4, pp. 801-818
Persistent link: https://www.econbiz.de/10010190874
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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870
Persistent link: https://www.econbiz.de/10010190872
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Risk sensitive asset management with transaction costs
Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10001486618
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Portfolio optimisation with strictly positive transaction costs and impulse control
Korn, Ralf - In: Finance and stochastics 2 (1998) 2, pp. 85-114
Persistent link: https://www.econbiz.de/10001235411
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Optimal trading of a security when there are taxes and transaction costs
Cadenillas, Abel; Pliska, Stanley R. - In: Finance and stochastics 3 (1999) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10001367012
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A generalization of the mutual fund theorem
Khanna, Ajay; Kulldorff, Martin - In: Finance and stochastics 3 (1999) 2, pp. 167-185
Persistent link: https://www.econbiz.de/10001367026
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Turnpike behavior of long-term investments
Huang, Chi-fu; Zariphopoulou, Thaleia - In: Finance and stochastics 3 (1999) 1, pp. 15-34
Persistent link: https://www.econbiz.de/10001367438
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Dynamic programming and mean-variance hedging
Laurent, Jean Paul; Pham, Huyên - In: Finance and stochastics 3 (1999) 1, pp. 83-110
Persistent link: https://www.econbiz.de/10001367656