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Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail; … - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
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Vector-valued coherent risk measure processes
Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
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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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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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Utility maximization in a binomial model with transaction costs : a duality approach based on the shadow price process
Bayer, Christian; Veliyev, Bezirgen - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10010391519
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Conditional-mean hedging under transaction costs in Gaussian models
Sottinen, Tommi; Viitasaari, Lauri - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011854596
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Optimal index tracking under transaction costs and impulse control
Buckley, I. R. C. - In: International journal of theoretical and applied finance 1 (1998) 3, pp. 315-330
Persistent link: https://www.econbiz.de/10001251052
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Minimal cost index tracking under nonlinear transaction costs and minimal transaction unit constraints
Konno, Hiroshi; Wijayanayake, Annista - In: International journal of theoretical and applied finance 4 (2001) 6, pp. 939-957
Persistent link: https://www.econbiz.de/10001632658
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Portfolio optimization of small scale fund using mean-absolute deviation model
Konno, Hiroshi - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 403-418
Persistent link: https://www.econbiz.de/10001779826
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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905