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Dynamic risk management of multi-asset portfolios
Groll, Christian - 2017
Persistent link: https://www.econbiz.de/10012202863
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Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Krawczyk, Jacek B. - In: Risks : open access journal 3 (2015) 3, pp. 318-337
For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...
Persistent link: https://www.econbiz.de/10011402594
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Portfolio optimization with discrete trading strategies in a continuous-time setting
Laue, Silke (contributor) - 2003
Persistent link: https://www.econbiz.de/10001782343
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Dynamische Portfolio-Selektion : eine Analyse unter Einbeziehung von Kurssprüngen und Transaktionskosten
Nietert, Bernhard - 1996
Persistent link: https://www.econbiz.de/10013420731
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The Portfolio demand for the ECU : a transaction cost approach
Chryssanthou, Nikos - 1989
Persistent link: https://www.econbiz.de/10000126465
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Connections between discrete-time and continuous-time financial models
Sun, Tong-sheng - 1987
Persistent link: https://www.econbiz.de/10000167721
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Portfolio optimization with strictly positive transaction costs and impulse control
Korn, Ralf - 1994
Persistent link: https://www.econbiz.de/10000903142
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Transaction costs and efficiency of portfolio strategies
Pelsser, Antoon André Jean; Vorst, Ton - 1994
Persistent link: https://www.econbiz.de/10000903478
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Valuation equilibria with transactions costs
Chatterjee, Satyajit; Corbae, Dean - 1995
Persistent link: https://www.econbiz.de/10000908007
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Transaction costs and efficiency of portfolio strategies
Pelsser, Antoon André Jean; Vorst, Ton - 1994
Persistent link: https://www.econbiz.de/10000912212