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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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Option pricing and hedging with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 702-723
Persistent link: https://www.econbiz.de/10011350527
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General intensity shapes in optimal liquidation
Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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Trading with small price impact
Moreau, Ludovic; Muhle-Karbe, Johannes; Soner, Halil Mete - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 350-400
Persistent link: https://www.econbiz.de/10011752491
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The general structure of optimal investment and consumption with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 659-703
Persistent link: https://www.econbiz.de/10011764966
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Option pricing and hedging with execution costs and market impact
Guéant, Olivier; Pu, Jiang - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
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Robust portfolios and weak incentives in long-run investments
Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 3-37
Persistent link: https://www.econbiz.de/10011739438