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Utility maximization in an illiquid market in continuous time
Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
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A primer on portfolio choice with small transaction costs
Muhle-Karbe, Johannes; Reppen, Max; Soner, Halil Mete - In: Annual review of financial economics 9 (2017), pp. 301-331
Persistent link: https://www.econbiz.de/10011910882
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Liquidity in a binomial market
Gökay, Selim; Soner, Halil Mete - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 250-276
Persistent link: https://www.econbiz.de/10009613203
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A Primer on Portfolio Choice with Small Transaction Costs
Muhle-Karbe, Johannes - 2018
This review is an introduction to asymptotic methods for portfolio choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and how to simplify them in the small-cost limit. This allows one to obtain explicit solutions in a wide range...
Persistent link: https://www.econbiz.de/10012931091
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American options, multi-armed bandits and optimal consumption plans : a unifying view
Bank, Peter (contributor); Föllmer, Hans (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001917057
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American options, multi-armed bandits, and optimal consumption plans : a unifying view
Bank, Peter; Föllmer, Hans - In: Paris Princeton lectures on mathematical finance 1 (2002), pp. 1-42
Persistent link: https://www.econbiz.de/10009357107