Zobrazeno 1 - 10
of 26
pro vyhledávání: '"ALTAROVICI, ALBERT"'
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved
Externí odkaz:
http://arxiv.org/abs/1610.03958
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order
Externí odkaz:
http://arxiv.org/abs/1306.2802
Autor:
Akyildirim, Erdnç1,2,3 (AUTHOR) erdincakyildirim@akdeniz.edu.tr, Altarovici, Albert4 (AUTHOR)
Publikováno v:
Quantitative Finance. Jun2016, Vol. 16 Issue 6, p929-945. 17p.
Autor:
Altarovici, Albert1 albert.altarovici@math.ethz.ch, Muhle-Karbe, Johannes1 johannes.muhle-karbe@math.ethz.ch, Soner, Halil1 hmsoner@ethz.ch
Publikováno v:
Finance & Stochastics. Apr2015, Vol. 19 Issue 2, p363-414. 52p.
Autor:
Altarovici, Albert1 Albert.Altarovici@inria.fr, Bokanowski, Olivier1,2 boka@math.jussieu.fr, Zidani, Hasnaa1 Hasnaa.Zidani@ensta.fr
Publikováno v:
ESAIM: Control, Optimisation & Calculus of Variations. Apr2013, Vol. 19 Issue 2, p337-357. 21p.
Publikováno v:
In The Handbook of High Frequency Trading 2015:305-326
Publikováno v:
Finance and Stochastics, 19 (2)
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fa569be56ff1c7d80c5b0be873530cb3
Akademický článek
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Autor:
Akyıldırım, Erdinç, Ali, Paul U., Allen, David E., Altarovici, Albert, Anderson, Richard G., Binner, Jane M., Boudt, Kris, Charles-Cadogan, Godfrey, Ciallella, Giuseppe, Cole, Brittany, Curato, Imma Valentina, Daigle, Jonathan, Demir, Nazmi, Ekinci, Cumhur, Fischer, Dov, Gradojevic, Nikola, Gregoriou, Greg N., Guernsey, George, Hagströmer, Björn, Hahn, Tobias, Ho, Kin-Yip, Lean, Hooi Hooi, Lento, Camillo, Lhabitant, François-Serge, MacIntosh, Jeffrey G., McAleer, Michael J., Meyer, David R., Mishra, Vinod, Moosa, Imad, Nguyen, Giang, Nilsson, Birger, Peeters, Benedict, Ramiah, Vikash, Rengifo, Erick, Sanfelici, Simona, Scholtus, Martin, Shabbir, Tayyeb, Shi, Yanlin, Singh, Abhay K., Smyth, Russell, Solakoglu, M. Nihat, Susai, Masayuki, Trendafilov, Rossen, van Dijk, Dick, Van Ness, Bonnie F., Van Ness, Robert A., Vanstone, Bruce, von Müller, Camillo, Yoshida, Yushi, Zhang, Zhaoyong
Publikováno v:
In The Handbook of High Frequency Trading 2015:xiii-xv