-
2
-
-
0040833102
-
Transaction costs and holding periods for common stocks
-
Atkins A.B., and Dyl D.A. Transaction costs and holding periods for common stocks. Journal of Finance 52 (1997) 309-325
-
(1997)
Journal of Finance
, vol.52
, pp. 309-325
-
-
Atkins, A.B.1
Dyl, D.A.2
-
3
-
-
0346433438
-
Intertemporal portfolio optimization with small transaction costs and stochastic variance
-
Atkinson C., and Mokkhavesa S. Intertemporal portfolio optimization with small transaction costs and stochastic variance. Applied Mathematical Finance 10 (2003) 267-302
-
(2003)
Applied Mathematical Finance
, vol.10
, pp. 267-302
-
-
Atkinson, C.1
Mokkhavesa, S.2
-
5
-
-
0041753938
-
Convergence of numerical schemes for degenerate parabolic equations arising in finance theory
-
Rogers L.C.G., and Talay D. (Eds), Cambridge University Press, Cambridge
-
Barles G. Convergence of numerical schemes for degenerate parabolic equations arising in finance theory. In: Rogers L.C.G., and Talay D. (Eds). Numerical Methods in Finance (1997), Cambridge University Press, Cambridge 1-21
-
(1997)
Numerical Methods in Finance
, pp. 1-21
-
-
Barles, G.1
-
6
-
-
84974753170
-
Convergence of approximation schemes for fully nonlinear second-order equations
-
Barles G., and Souganidis P.E. Convergence of approximation schemes for fully nonlinear second-order equations. Asymptotic Analysis 4 (1991) 271-283
-
(1991)
Asymptotic Analysis
, vol.4
, pp. 271-283
-
-
Barles, G.1
Souganidis, P.E.2
-
8
-
-
34248648949
-
-
Chancelier, J.P., Oksendal, B., Sulem, A., 2000. Combined stochastic control and optimal stopping and application to numerical approximation of combined stochastic and impulse control. Working Paper, Department of Mathematics, University of Oslo, Oslo, Norway.
-
-
-
-
9
-
-
34248678896
-
-
Chellathurai, T., 2003. Dynamic portfolio selection with transaction costs: a non-singular stochastic optimal control approach. Ph.D. Thesis, Department of Systems Design Engineering, University of Waterloo, Canada.
-
-
-
-
10
-
-
84936823769
-
Capital market equilibrium with transaction costs
-
Constantinides G.M. Capital market equilibrium with transaction costs. Journal of Political Economy 94 (1986) 842-862
-
(1986)
Journal of Political Economy
, vol.94
, pp. 842-862
-
-
Constantinides, G.M.1
-
13
-
-
84977720591
-
An exact solution to a dynamic portfolio-choice problem under transaction costs
-
Dumas B., and Luciano E. An exact solution to a dynamic portfolio-choice problem under transaction costs. Journal of Finance 46 (1991) 577-595
-
(1991)
Journal of Finance
, vol.46
, pp. 577-595
-
-
Dumas, B.1
Luciano, E.2
-
18
-
-
34248663683
-
-
Hirsch, C., 1988. Numerical computation of internal and external flows. Fundamentals of Numerical Discretization, vol. 1. Wiley, Chichester.
-
-
-
-
19
-
-
0000714946
-
Optimal replication of contingent claims under transaction costs
-
Hodges S.D., and Nueberger A. Optimal replication of contingent claims under transaction costs. Review of Futures Markets 8 (1989) 222-289
-
(1989)
Review of Futures Markets
, vol.8
, pp. 222-289
-
-
Hodges, S.D.1
Nueberger, A.2
-
20
-
-
0012273782
-
Portfolio optimization with strictly positive transaction costs and impulse control
-
Korn R. Portfolio optimization with strictly positive transaction costs and impulse control. Finance and Stochastics 2 (1998) 85-114
-
(1998)
Finance and Stochastics
, vol.2
, pp. 85-114
-
-
Korn, R.1
-
22
-
-
34248661440
-
-
Leland, H.E., 2000. Optimal portfolio management with transaction costs and capital gains taxes. Working Paper, Haas School of Business, University of California, Berkeley.
-
-
-
-
24
-
-
0000314740
-
Lifetime-portfolio selection under uncertainty-the continuous time case
-
Merton R.C. Lifetime-portfolio selection under uncertainty-the continuous time case. Review of Economics and Statistics 51 (1969) 247-257
-
(1969)
Review of Economics and Statistics
, vol.51
, pp. 247-257
-
-
Merton, R.C.1
-
25
-
-
0011090049
-
Optimum consumption and portfolio rules in a continuous-time model
-
Merton R.C. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3 (1971) 373-413
-
(1971)
Journal of Economic Theory
, vol.3
, pp. 373-413
-
-
Merton, R.C.1
-
27
-
-
0142139188
-
Option pricing with transaction costs using a Markov chain approximation
-
Monoyios M. Option pricing with transaction costs using a Markov chain approximation. Journal of Economic Dynamics and Control 28 (2004) 889-913
-
(2004)
Journal of Economic Dynamics and Control
, vol.28
, pp. 889-913
-
-
Monoyios, M.1
-
28
-
-
0036929730
-
Optimal consumption and portfolio with both fixed and proportional transaction costs
-
Oksendal B., and Sulem A. Optimal consumption and portfolio with both fixed and proportional transaction costs. SIAM Journal on Control and Optimization 40 (2002) 1765-1790
-
(2002)
SIAM Journal on Control and Optimization
, vol.40
, pp. 1765-1790
-
-
Oksendal, B.1
Sulem, A.2
-
29
-
-
34248653365
-
-
Schroder, M., 1995. Optimal portfolio selection with fixed transaction costs: numerical solutions. Working Paper, Eli Broad Graduate School of Management, Michigan State University, East Lansing, USA.
-
-
-
-
30
-
-
0000557964
-
Optimal investment and consumption with transaction costs
-
Shreve S.E., and Soner H.M. Optimal investment and consumption with transaction costs. Annals of Applied Probability 4 (1994) 609-692
-
(1994)
Annals of Applied Probability
, vol.4
, pp. 609-692
-
-
Shreve, S.E.1
Soner, H.M.2
-
33
-
-
33846951678
-
Dynamic optimization for a mixed portfolio with transaction costs
-
Rogers L.C.G., and Talay D. (Eds), Cambridge University Press, Cambridge
-
Sulem A. Dynamic optimization for a mixed portfolio with transaction costs. In: Rogers L.C.G., and Talay D. (Eds). Numerical Methods in Finance (1997), Cambridge University Press, Cambridge 165-180
-
(1997)
Numerical Methods in Finance
, pp. 165-180
-
-
Sulem, A.1
-
34
-
-
0040140294
-
Viscosity solutions and numerical schemes for investment/consumption models with transaction costs
-
Rogers L.C.G., and Talay D. (Eds), Cambridge University Press, Cambridge
-
Tourin A., and Zariphopoulou T. Viscosity solutions and numerical schemes for investment/consumption models with transaction costs. In: Rogers L.C.G., and Talay D. (Eds). Numerical Methods in Finance (1997), Cambridge University Press, Cambridge 245-269
-
(1997)
Numerical Methods in Finance
, pp. 245-269
-
-
Tourin, A.1
Zariphopoulou, T.2
-
35
-
-
34248682557
-
-
Zakamouline, V.I., 2002. Optimal portfolio selection with fixed and proportional transaction costs for a CRRA investor with finite horizon. Working Paper, Norwegian School of Economics and Business Administration, Norway.
-
-
-
-
36
-
-
29944439059
-
-
Zakamouline, V.I., 2006. European option pricing and hedging with both fixed and proportional transaction costs. Journal of Economic Dynamics and Control 30, 1-25.
-
-
-
|