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Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
16 references·6 citing·35 second hop
Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001)Dynamic Optimization of Long‐Term Growth …Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs (2001)Optimal consumption and portf…On an Investment-Consumption Model with Transaction Costs (1996)On an Investment-Consumption …OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)OPTIMAL PORTFOLIO MANAGEMENT …Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Consumption-Investment Models with Constraints (1994)Consumption-Investment Models…SDEs with Oblique Reflection on Nonsmooth Domains (1993)SDEs with Oblique Reflection …Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem (1989)Regularity of the Value Funct…A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees (1988)A Diffusion Model for Optimal…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Optimal control of diffustion…Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I (1983)Optimal control of diffusion …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Transaction Costs, Trading Volume, and the Liquidity Premium (2012)Transaction Costs, Trading Vo…Online Portfolio Selection: A Survey (2012)Online Portfolio Selection: A…Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs (2012)Asymptotic Analysis for Optim…SIMULATION‐BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS (2007)SIMULATION‐BASED PORTFOLIO OP…UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS (2005)UNIVERSAL INVESTMENT IN MARKE…A geometric approach to portfolio optimization in models with transaction costs (2004)A geometric approach to portf…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Multiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)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)Controlled Diffusion Processes (1980)Stochastic differential equations with reflecting boundary conditions (1984)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Weak Dynamic Programming Principle for Viscosity Solutions (2011)Portfolio optimisation with strictly positive transaction costs and impulse control (1998)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Liquidity shocks and equilibrium liquidity premia (2003)Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)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)Optimization Problems in the Theory of Continuous Trading (1989)Hedging in incomplete markets with HARA utility (1997)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
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  • 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application218 cited
  • 1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees182 cited
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  • 1989Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

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118 cited
  • 2001Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs102 cited
  • Cited by

    • 2012Online Portfolio Selection: A Survey68 cited
    • 2012Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs60 cited
    • 2005UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS33 cited
    • 2004A geometric approach to portfolio optimization in models with transaction costs32 cited
    • 2007SIMULATION‐BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS32 cited
    • 2012Transaction Costs, Trading Volume, and the Liquidity Premium32 cited