Optimal portfolio selection for the small investor considering risk and transaction costs

JOURNAL ARTICLE published January 2010 in OR Spectrum

Authors: Rainer Baule

Transaction Cost Analysis to Optimize Trading Strategies

JOURNAL ARTICLE published 30 September 2010 in The Journal of Trading

Authors: Carla Gomes | Henri Waelbroeck

Utility maximization problem with random endowment and transaction costs: when wealth may become negative

JOURNAL ARTICLE published 4 March 2017 in Stochastic Analysis and Applications

Authors: Yiqing Lin | Junjian Yang

Optimal trading strategy for European options with transaction costs

JOURNAL ARTICLE published July 2003 in Advances in Mathematics

Authors: Alan F. Ho

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Tim Leung | Xin Li | Zheng Wang

Utility Maximization Trading Two Futures with Transaction Costs

JOURNAL ARTICLE published January 2013 in SIAM Journal on Financial Mathematics

Authors: Maxim Bichuch | Steven Shreve

On Robustness of Double Linear Trading With Transaction Costs

JOURNAL ARTICLE published 2023 in IEEE Control Systems Letters

Research funded by Ministry of Science and Technology (MOST), Taiwan (MOST 111–2221–E–007–124)

Authors: Chung-Han Hsieh

A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint

JOURNAL ARTICLE published 31 July 2018 in The Journal of Trading

Authors: Mogens Graf Plessen | Alberto Bemporad

Optimal Partial Hedging of Options with Small Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: A. Elizabeth Whalley

European option pricing with transaction costs and trading restrictions

PROCEEDINGS ARTICLE published 2010 in 2010 2nd IEEE International Conference on Information Management and Engineering

Authors: Xiaoqin Huang | Xiaojie Liu

Admissible Trading Strategies Under Transaction Costs

BOOK CHAPTER published 2014 in Lecture Notes in Mathematics

Authors: Walter Schachermayer

Dynamic Trading with Predictable Returns and Transaction Costs: Corrigendum

REPORT published 6 October 2021

Authors: Lasse Pedersen

Trading Costs and Execution Strategies in Emerging Markets

OTHER published 16 August 2013 in Market Microstructure in Emerging and Developed Markets

Authors: Mark Humphery‐Jenner | Eliza Wu

Performance Analysis of Log-Optimal Portfolio Strategies with Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Mihály Ormos | András Urbán

Dynamic Trading with Predictable Returns and Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Nicolae Bogdan Garleanu | Lasse Heje Pedersen

Futures trading with transaction costs

JOURNAL ARTICLE published 1 January 2010 in Illinois Journal of Mathematics

Authors: Karel Janeček | Steven E. Shreve

A Singular Stochastic Control Approach for Optimal Pairs Trading with Proportional Transaction Costs

JOURNAL ARTICLE published 23 March 2022 in Journal of Risk and Financial Management

Authors: Haipeng Xing

Transaction Costs

BOOK CHAPTER published 2021 in Algorithmic Trading Methods

Authors: Robert L. Kissell

Dynamic Trading with Predictable Returns and Transaction Costs

REPORT published August 2009

Authors: Nicolae Garleanu | Lasse Pedersen

Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

JOURNAL ARTICLE published April 2001 in Journal of Mathematical Economics

Authors: Nils Chr. Framstad | Bernt Øksendal | Agnès Sulem