메뉴 건너뛰기




Volumn 54, Issue 4, 2010, Pages 1239-1284

Futures trading with transaction costs

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84867495812     PISSN: 00192082     EISSN: None     Source Type: Journal    
DOI: 10.1215/ijm/1348505528     Document Type: Article
Times cited : (23)

References (20)
  • 1
    • 84986847167 scopus 로고
    • Portfolio management with transaction costs: An asymptotic analysis of the Morton and Pliska model
    • C. Atkinson and P. Wilmott, Portfolio management with transaction costs: An asymptotic analysis of the Morton and Pliska model, Math. Finance 5 (1995), 357-367.
    • (1995) Math. Finance , vol.5 , pp. 357-367
    • Atkinson, C.1    Wilmott, P.2
  • 2
    • 84936823769 scopus 로고
    • Capital market equilibrium with transaction costs
    • G. M. Constantinides, Capital market equilibrium with transaction costs, J. Polit. Econ. 94 (1986), 842-862.
    • (1986) J. Polit. Econ , vol.94 , pp. 842-862
    • Constantinides, G.M.1
  • 3
    • 77951566665 scopus 로고    scopus 로고
    • Finite horizon optimal investment and consumption with transaction costs, SIAM
    • M. Dai, L. Jiang, P. F. Li and F. H. Yi, Finite horizon optimal investment and consumption with transaction costs, SIAM J. Control Optimization 48 (2009), 1134-1154.
    • (2009) J. Control Optimization , vol.48 , pp. 1134-1154
    • Dai, M.1    Jiang, L.2    Li, P.F.3    Yi, F.H.4
  • 4
    • 84863058276 scopus 로고    scopus 로고
    • Penalty methods for continuous-time portfolio selection with proportional transaction costs
    • M. Dai and Y. Zhong, Penalty methods for continuous-time portfolio selection with proportional transaction costs, J. Comp. Finance 13 (2010), 1-31.
    • (2010) J. Comp. Finance , vol.13 , pp. 1-31
    • Dai, M.1    Zhong, Y.2
  • 5
    • 58349103529 scopus 로고    scopus 로고
    • Finite horizon optimal investment with transaction costs: A parabolic double obstacle problem
    • M. Dai and F. H. Yi, Finite horizon optimal investment with transaction costs: A parabolic double obstacle problem, J. Diff. Equations 246 (2009), 1445-1469.
    • (2009) J. Diff. Equations , vol.246 , pp. 1445-1469
    • Dai, M.1    Yi, F.H.2
  • 6
    • 0000637746 scopus 로고
    • Portfolio selection with transaction costs
    • M. H. A. Davis and A. Norman, Portfolio selection with transaction costs, Math. Oper. Res. 15 (1990), 676-713.
    • (1990) Math. Oper. Res , vol.15 , pp. 676-713
    • Davis, M.H.A.1    Norman, A.2
  • 7
    • 24144451741 scopus 로고    scopus 로고
    • Asymptotic analysis for optimal investment and consumption with transaction costs
    • K. Janeček and S. Shreve, Asymptotic analysis for optimal investment and consumption with transaction costs, Finance Stochast. 8 (2004), 181-206.
    • (2004) Finance Stochast , vol.8 , pp. 181-206
    • Janeček, K.1    Shreve, S.2
  • 8
    • 51549101805 scopus 로고    scopus 로고
    • An explicit formula for the Skorohod map on [0,a]
    • L. Kruk, J. Lehoczky, K. Ramanan and S. Shreve, An explicit formula for the Skorohod map on [0,a], Ann. Probab. 35 (2007), 1740-1768.
    • (2007) Ann. Probab , vol.35 , pp. 1740-1768
    • Kruk, L.1    Lehoczky, J.2    Ramanan, K.3    Shreve, S.4
  • 9
    • 0012273782 scopus 로고    scopus 로고
    • Portfolio optimisation with strictly positive transaction costs and impulse control
    • R. Korn, Portfolio optimisation with strictly positive transaction costs and impulse control, Finance Stochast. 2 (1998), 85-114.
    • (1998) Finance Stochast , vol.2 , pp. 85-114
    • Korn, R.1
  • 10
    • 10044232460 scopus 로고    scopus 로고
    • Portfolio optimisation with transaction costs and exponential utility
    • (R. Buckdahn, H. J. Engelbert and M. Yor, eds.), Taylor & Francis, London
    • R. Korn and S. Laue, Portfolio optimisation with transaction costs and exponential utility, Stochastic processes and related topics (R. Buckdahn, H. J. Engelbert and M. Yor, eds.), Taylor & Francis, London, 2002.
    • (2002) Stochastic Processes and Related Topics
    • Korn, R.1    Laue, S.2
  • 11
    • 0036296927 scopus 로고    scopus 로고
    • Optimal portfolio selection with transaction costs and finite horizons
    • H. Liu and M. Loewenstein, Optimal portfolio selection with transaction costs and finite horizons, Rev. Fin. Studies 15 (2002), 805-835.
    • (2002) Rev. Fin. Studies , vol.15 , pp. 805-835
    • Liu, H.1    Loewenstein, M.2
  • 12
    • 0011621848 scopus 로고
    • Portfolio selection with transaction costs
    • M. J. Magill and G. M. Constantinides, Portfolio selection with transaction costs, J. Econ. Theory 13 (1976), 245-263.
    • (1976) J. Econ. Theory , vol.13 , pp. 245-263
    • Magill, M.J.1    Constantinides, G.M.2
  • 14
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time case
    • [Erratum 6 (1973), 213-214]
    • R. Merton, Optimum consumption and portfolio rules in a continuous-time case, J. Econ. Theory 3 (1971), 373-413 [Erratum 6 (1973), 213-214].
    • (1971) J. Econ. Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 15
    • 33644969083 scopus 로고    scopus 로고
    • Multidimensional portfolio optimization with proportional transaction costs
    • K. Muthuraman and S. Kumar, Multidimensional portfolio optimization with proportional transaction costs, Math. Finance 16 (2006), 301-335.
    • (2006) Math. Finance , vol.16 , pp. 301-335
    • Muthuraman, K.1    Kumar, S.2
  • 17
    • 0000557964 scopus 로고
    • Optimal investment and consumption with transaction costs
    • S. Shreve and H. M. Soner, Optimal investment and consumption with transaction costs, Ann. Appl. Probab. 4 (1994), 609-692.
    • (1994) Ann. Appl. Probab , vol.4 , pp. 609-692
    • Shreve, S.1    Soner, H.M.2
  • 18
    • 0010966556 scopus 로고
    • Numerical schemes for investment models with singular transactions
    • A. Tourin and T. Zariphopoulou, Numerical schemes for investment models with singular transactions, Computat. Econ. 7 (1994), 287-307.
    • (1994) Computat. Econ , vol.7 , pp. 287-307
    • Tourin, A.1    Zariphopoulou, T.2
  • 19
    • 0040140294 scopus 로고    scopus 로고
    • Viscosity solutions and numerical schemes for investment/consumption models with transaction costs
    • (L. C. G. Rogers and D. Talay, eds.), Isaac Newton Institute Publications, Cambridge Univ. Press, Cambridge
    • A. Tourin and T. Zariphopoulou, Viscosity solutions and numerical schemes for investment/consumption models with transaction costs, Numerical methods in finance (L. C. G. Rogers and D. Talay, eds.), Isaac Newton Institute Publications, Cambridge Univ. Press, Cambridge, 1997.
    • (1997) Numerical Methods In Finance
    • Tourin, A.1    Zariphopoulou, T.2
  • 20
    • 0031497150 scopus 로고    scopus 로고
    • An asymptotic analysis of an optimal hedging model for option pricing under transaction costs
    • A. E. Whalley and P. Wilmott, An asymptotic analysis of an optimal hedging model for option pricing under transaction costs, Math. Finance 7 (1997), 307-324.
    • (1997) Math. Finance , vol.7 , pp. 307-324
    • Whalley, A.E.1    Wilmott, P.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.