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OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
6 references·16 citing·38 second hop
OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED T…Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Numerical Methods for Stochas…An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …Uncertain portfolio adjusting model using semiabsolute deviation (2014)Uncertain portfolio adjusting…Multiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors (2010)Multiple Risky Assets, Transa…Neural network-based mean–variance–skewness model for portfolio selection (2006)Neural network-based mean–var…MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (2006)MULTIDIMENSIONAL PORTFOLIO OP…A model of optimal portfolio selection under liquidity risk and price impact (2006)A model of optimal portfolio …Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)Portfolio rebalancing model w…IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER (2005)IT'S 11 PM—DO YOU KNOW WHERE …Dynamic trading policies with price impact (2004)Dynamic trading policies with…Asymptotic analysis for optimal investment and consumption with transaction costs (2004)Asymptotic analysis for optim…Liquidity shocks and equilibrium liquidity premia (2003)Liquidity shocks and equilibr…The relaxed investor and parameter uncertainty (2001)The relaxed investor and para…Asset Prices and Trading Volume Under Fixed Transactions Costs (2001)Asset Prices and Trading Volu…Risk sensitive asset management with transaction costs (2000)Risk sensitive asset manageme…Some applications of impulse control in mathematical finance (1999)Some applications of impulse …Portfolio optimisation with strictly positive transaction costs and impulse control (1998)Portfolio optimisation with s…Brownian Motion and Stochastic Calculus (2007)Transaction costs, trading volume, and the liquidity premium (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Asset Prices and Trading Volume under Fixed Transactions Costs (2004)Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Fuzzy sets (1965)Fuzzy sets (1996)Decision Making in a Fuzzy Environment (2007)Possibilistic mean–variance models and efficient frontiers for portfolio selection problem (2007)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Portfolio rebalancing with an investment horizon and transaction costs (2012)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Continuous Auctions and Insider Trading (1985)Equilibrium interest rate and liquidity premium with transaction costs (1999)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Illiquidity and Pricing Biases in the Real Estate Market (2007)Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets (2009)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)A generalized clark representation formula, with application to optimal portfolios (1991)Anticipative portfolio optimization (1996)A two-person dynamic equilibrium under ambiguity (2003)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Heavy traffic resource pooling in parallel‐server systems (1999)Investment Shocks and Asset Prices (2011)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1992Numerical Methods for Stochastic Control Problems in Continuous Time625 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited

Cited by

  • 2003Liquidity shocks and equilibrium liquidity premia207 cited
  • 2005Portfolio rebalancing model with transaction costs based on fuzzy decision theory165 cited
  • 1998Portfolio optimisation with strictly positive transaction costs and impulse control161 cited
  • 2004Asymptotic analysis for optimal investment and consumption with transaction costs157 cited
  • 2001The relaxed investor and parameter uncertainty146 cited
  • 1999Some applications of impulse control in mathematical finance132 cited
  • 2006A model of optimal portfolio selection under liquidity risk and price impact130 cited
  • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited
  • 2006

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Neural network-based mean–variance–skewness model for portfolio selection
128 cited
  • 2006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS126 cited
  • 2001Asset Prices and Trading Volume Under Fixed Transactions Costs107 cited
  • 2014Uncertain portfolio adjusting model using semiabsolute deviation98 cited
  • 2004Dynamic trading policies with price impact95 cited
  • 2005IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER95 cited
  • 2000Risk sensitive asset management with transaction costs93 cited
  • 2010Multiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors86 cited