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Portfolio selection with transaction costs and jump-diffusion asset dynamics I : a numerical solution
Czerwonko, Michal; Perrakis, Stylianos - In: The quarterly journal of finance 6 (2016) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011585411
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Portfolio selection with transaction costs and jump-diffusion asset dynamics II : economic implications
Czerwonko, Michal; Perrakis, Stylianos - In: The quarterly journal of finance 6 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011585413
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Pricing and hedging game options in currency models with proportional transaction costs
Roux, Alet - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-25
Persistent link: https://www.econbiz.de/10011568851
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Four essays on German stocks : returns, anomalies, and insider trading
Schmidt, Martin H. - 2016
Persistent link: https://www.econbiz.de/10011568964
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Optimal risk and dividend strategies with transaction costs and terminal value
Cheng, Gongpin; Zhao, Yongxia - In: Economic modelling 54 (2016), pp. 522-536
Persistent link: https://www.econbiz.de/10011642298
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Portfolio selection with transaction costs and default risk
Puopolo, Giovanni W. - In: Managerial finance 43 (2017) 2, pp. 231-241
Persistent link: https://www.econbiz.de/10011661928
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Optimal option portfolio strategies : deepening the puzzle of index option mispricing
Faias, José Afonso; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 1, pp. 277-303
Persistent link: https://www.econbiz.de/10011667735
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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
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International diversification benefits with foreign exchange investment styles
Kroencke, Tim-Alexander; Schindler, Felix; Schrimpf, Andreas - In: Review of finance : journal of the European Finance … 18 (2014) 5, pp. 1847-1883
Persistent link: https://www.econbiz.de/10010510317
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Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; … - In: Computational Management Science : CMS 12 (2015) 2, pp. 319-340
Persistent link: https://www.econbiz.de/10010513407