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The dual optimizer for the growth-optimal portfolio under transaction costs
16 references·4 citing·31 second hop
The dual optimizer for the growth-optimal portfolio under transaction costs (2011)The dual optimizer for the growth-optimal…Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)Optimal Portfolio Selection w…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Option pricing with transacti…An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (1997)An Asymptotic Analysis of an …HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)HEDGING AND PORTFOLIO OPTIMIZ…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…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…A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees (1988)A Diffusion Model for Optimal…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …SHADOW PRICES FOR CONTINUOUS PROCESSES (2015)SHADOW PRICES FOR CONTINUOUS …Shadow price in the power utility case (2015)Shadow price in the power uti…Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs (2013)Characterization of Optimal S…Transaction Costs, Trading Volume, and the Liquidity Premium (2012)Transaction Costs, Trading Vo…Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Brownian Motion and Stochastic Calculus (2007)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)Martingales and arbitrage in multiperiod securities markets (1979)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)An Equilibrium Model with Restricted Stock Market Participation (1998)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)A jump to default extended CEV model: an application of Bessel processes (2006)
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References

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  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
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  • 2002Optimal Portfolio Selection with Transaction Costs and Finite Horizons277 cited

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1997
An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
223 cited
  • 1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees182 cited
  • Cited by

    • 2015Shadow price in the power utility case37 cited
    • 2012Transaction Costs, Trading Volume, and the Liquidity Premium32 cited
    • 2015SHADOW PRICES FOR CONTINUOUS PROCESSES31 cited
    • 2013Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs31 cited