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Optimal Index Tracking Under Transaction Costs and Impulse Control

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References

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1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
1990Portfolio Selection with Transaction Costs1,318 cited
1993Impulse Control Method and Exchange Rate270 cited
1983Impulse Control of Brownian Motion234 cited
1998Portfolio optimisation with strictly positive transaction costs and impulse control161 cited
1995Cash Management for Index Tracking105 cited
1997Optimal Impulse Control When Control Actions Have Random Consequences58 cited

Cited by

2015An efficient optimization approach for a cardinality-constrained index tracking problem55 cited
2002Optimal impulse control for cash management¶with quadratic holding-penalty costs37 cited
2017Index tracking and enhanced indexing using mixed conditional value-at-risk36 cited
2013Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets34 cited
2010A Computational Method for Stochastic Impulse Control Problems31 cited
2001OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST30 cited

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2011

Expectancy balance model for cash flow

17 cited