SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Portfolio optimisation with strictly positive transaction costs and impulse control · Study

ArticleShelves

ArticlePortfolio optimisation with strictly positive transaction costs and impulse control

Ralf Korn1998

Article1998

Portfolio optimisation with strictly positive transaction costs and impulse control

161 citations·0/0 files stored·Finance and Stochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 161 citations exist upstream.

References

1971Optimum consumption and portfolio rules in a continuous-time model 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1990Portfolio Selection with Transaction Costs 1980Controlled Diffusion Processes 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1994Optimal Investment and Consumption with Transaction Costs 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

Cited by

2004Asymptotic analysis for optimal investment and consumption with transaction costs 2006A model of optimal portfolio selection under liquidity risk and price impact 2001Asset Prices and Trading Volume Under Fixed Transactions Costs 2000Risk sensitive asset management with transaction costs 2005On some recent aspects of stochastic control and their applications

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNSarticle · 7 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 6 shared references 1994Consumption-Investment Models with Constraintsarticle · 6 shared references 2000Risk sensitive asset management with transaction costsarticle · 6 shared references 1995Chapter 1 Portfolio theorychapter · 6 shared references 2011Modelling Non-Monotone Risk Aversion Using SAHARA Utility Functionsarticle · 6 shared references

Details

Year1998

Typearticle

Published1998-02-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations161

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s007800050034

openalex_workW2012524049

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2010

Impulse Control of Multidimensional Jump Diffusions

2008Optimal impulse control for a multidimensional cash management system with generalized cost functions

2004European option pricing and hedging with both fixed and proportional transaction costs