Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients

JOURNAL ARTICLE published 9 February 2023 in Kybernetika

Authors: Petr Dostál

Investment strategies in the long run with proportional transaction costs and a HARA utility function

JOURNAL ARTICLE published March 2009 in Quantitative Finance

Authors: Petr Dostál

Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies

JOURNAL ARTICLE published January 2010 in SIAM Journal on Applied Mathematics

Authors: Jonathan Goodman | Daniel N. Ostrov

Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Alexander Vigodner

A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution

JOURNAL ARTICLE published March 2004 in Finance Research Letters

Authors: Robert Kissell | Morton Glantz | Roberto Malamut

Note—Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income

JOURNAL ARTICLE published April 1976 in Management Science

Authors: George M. Constantinides

Efficient Trading Strategies with Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Elyes Jouini | Vincent Porte

Transaction costs and institutional trading in small-cap equity funds

JOURNAL ARTICLE published December 2010 in Australian Journal of Management

Authors: Carole Comerton-Forde | David R. Gallagher | Jumana Nahhas | Terry S. Walter

Pure self-financing trading strategies under transaction costs

JOURNAL ARTICLE published January 2006 in Statistics & Decisions

Authors: Eric Beutner

Log-optimal investment in the long run with proportional transaction costs when using shadow prices

JOURNAL ARTICLE published 24 October 2015 in Kybernetika

Authors: Petr Dostál | Jana Klůjová

Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility

JOURNAL ARTICLE published 31 January 2011 in Stochastic Models

Authors: Stefan Thonhauser | Hansjörg Albrecher

Transaction Costs, Trading Volume and Momentum Strategies

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Xiafei Li | Chris Brooks | Joelle Miffre

Transaction Costs, Trading Volume and Momentum Strategies

JOURNAL ARTICLE published 31 December 2009 in The Journal of Trading

Authors: Xiafei Li | Chris Brooks | Joëlle Miffre

Optimal market timing strategies under transaction costs

JOURNAL ARTICLE published April 2002 in Omega

Authors: W Li

Optimization problem in finite-horizon case with quadratic utility function and proportional transaction costs

PROCEEDINGS ARTICLE published June 2013 in Ifost

Authors: Batsukh Tserendorj | Nyamsuren Dorj

Convergence of optimal strategies under proportional transaction costs

PROCEEDINGS ARTICLE published 2008 in Banach Center Publications

Authors: Rafał Kucharski

Perturbation solution of optimal portfolio theory with transaction costs for any utility function

JOURNAL ARTICLE published 1 April 2002 in IMA Journal of Management Mathematics

Authors: S. Mokkhavesa

Efficient Trading Strategies in Financial Markets with Proportional Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Elyes Jouini | Luciano Campi | Vincent Porte

Finite-Horizon Optimal Investment with Transaction Costs: Construction of the Optimal Strategies

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Christoph Belak | Joern Sass

Worst-Case Approach to Strategic Optimal Portfolio Selection Under Transaction Costs and Trading Limits

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Nikolay A Andreev