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Portfolio management with transaction costs : an asymptotic analysis of the Morton and Pliska model
Atkinson, Colin - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 357-367
Persistent link: https://www.econbiz.de/10001189276
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Optimal portfolio management with fixed transaction costs
Morton, Andrew J. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 337-356
Persistent link: https://www.econbiz.de/10001189277
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Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns
Jarrow, Robert A. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336
Persistent link: https://www.econbiz.de/10001189278
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Optimal investment of a life interest
Jacka, Saul D. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 279-296
Persistent link: https://www.econbiz.de/10001189280
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Investment and arbitrage opportunities with short sales constraints
Carassus, Laurence - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 169-178
Persistent link: https://www.econbiz.de/10001245924
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On-line portfolio selection using multiplicative updates
Helmbold, David P. (contributor) - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 325-347
Persistent link: https://www.econbiz.de/10001252769
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Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Portfolio liquidation in dark pools in continuous time
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 496-544
Persistent link: https://www.econbiz.de/10011350581
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An online portfolio selection algorithm with regret logarithmic in price variation
Hazan, Elad; Kale, Satyen - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 288-310
Persistent link: https://www.econbiz.de/10011350635