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An LP approach to synthetic option replication with transaction costs and multiple security selection

Dennis, Patrick - In: Advances in futures and options research : a research annual 8 (1995), pp. 53-84

Persistent link: https://www.econbiz.de/10001211317

Valuation of options on several risky assets when there are transactions costs

Boyle, Phelim P. - In: Advances in futures and options research : a research annual 9 (1997), pp. 111-127

Persistent link: https://www.econbiz.de/10001226768

Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs

Kabanov, Youri - 2015

We consider a consumption-investment optimization problem for the Kabanov model when the proportional transaction costs rate is constant and the prices are modeled by a Lévy process. We naturally extend the preliminary work of [4] to portfolio processes that are only supposed to be làdlàg....

Persistent link: https://www.econbiz.de/10013034994

Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs

Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45

Persistent link: https://www.econbiz.de/10013371223

Optimal investment and consumption for financial markets with jumps under transaction costs

Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159

Persistent link: https://www.econbiz.de/10014447608

Fairness and efficiency in multiportfolio optimization

Iancu, Dan A.; Trichakis, Nikolaos - In: Operations research 62 (2014) 6, pp. 1283-1301

Persistent link: https://www.econbiz.de/10010471863

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

Risk constraints for portfolio optimization with fixed-fee transaction cost

Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112

Persistent link: https://www.econbiz.de/10011668136

Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms

Chen, Yao-Tsung; Yang, Hao-Qun - In: International journal of computational economics and … 10 (2020) 3, pp. 209-221

Persistent link: https://www.econbiz.de/10012271054

High order portfolio optimization problem with transaction costs

Li, Xin; Zhang, Peiai - In: Inventi impact: international trade (2019) 4, pp. 208-226

Persistent link: https://www.econbiz.de/10012432352