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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/10003410636
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Adaptive basket liquidation
Schöneborn, Torsten - In: Finance and stochastics 20 (2016) 2, pp. 455-493
Persistent link: https://www.econbiz.de/10011471455
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Portfolio optimization under convex incentive schemes
Bichuch, Maxim; Sturm, Stephan - In: Finance and stochastics 18 (2014) 4, pp. 873-915
Persistent link: https://www.econbiz.de/10010416186
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Hedge and mutual funds' fees and the separation of private investments
Guasoni, Paolo; Wang, Gu - In: Finance and stochastics 19 (2015) 3, pp. 473-507
Persistent link: https://www.econbiz.de/10011418231
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Optimal dividend payouts for diffusions with solvency constraints
Paulsen, Jostein - In: Finance and stochastics 7 (2003) 4, pp. 457-473
Persistent link: https://www.econbiz.de/10001800678
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Liquidity management with decreasing returns to scale and secured credit line
Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier - In: Finance and stochastics 20 (2016) 4, pp. 809-854
Persistent link: https://www.econbiz.de/10011569835
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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