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

Optimal trading with transaction costs and short-term predictability

JOURNAL ARTICLE published 3 August 2023 in Quantitative Finance

Authors: Shashidhar Murthy | John K. Wald

Performance analysis of log-optimal portfolio strategies with transaction costs

JOURNAL ARTICLE published October 2013 in Quantitative Finance

Authors: Mihály Ormos | András Urbán

Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes

JOURNAL ARTICLE published December 2010 in Quantitative Finance

Authors: Lihua Bai | Junyi Guo | Huayue Zhang

Reducing transaction costs with low-latency trading algorithms

JOURNAL ARTICLE published September 2016 in Quantitative Finance

Authors: Sasha Stoikov | Rolf Waeber

Pairs trading under transaction costs using model predictive control

JOURNAL ARTICLE published 3 June 2018 in Quantitative Finance

Authors: James A. Primbs | Yuji Yamada

A profitable trading and risk management strategy despite transaction costs

JOURNAL ARTICLE published June 2011 in Quantitative Finance

Authors: Ahmet Duran | Michael J. Bommarito

Transaction Costs

OTHER published 26 February 2010 in Encyclopedia of Quantitative Finance

Authors: Bruno Bouchard | Elyes Jouini

Optimizing Trading Strategies with Bayesian Optimization

BOOK CHAPTER published 2023 in Quantitative Trading Strategies Using Python

Authors: Peng Liu

An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

JOURNAL ARTICLE published July 2012 in Quantitative Finance

Authors: Artur Sepp

Optimal investment in the foreign exchange market with proportional transaction costs

JOURNAL ARTICLE published April 2011 in Quantitative Finance

Authors: Luitgard A. M. Veraart

Optimal tracking for asset allocation with fixed and proportional transaction costs

JOURNAL ARTICLE published 1 April 2004 in Quantitative Finance

Authors: Stanley Pliska | Kiyoshi Suzuki

Optimal hedging in an extended binomial market under transaction costs

JOURNAL ARTICLE published 3 May 2016 in Quantitative Finance

Authors: Norman Josephy | Lucia Kimball | Victoria Steblovskaya

Optimal tracking for asset allocation with fixed and proportional transaction costs

JOURNAL ARTICLE published April 2004 in Quantitative Finance

Authors: Stanley R Pliska | Kiyoshi Suzuki

Optimal dividend strategy with transaction costs for an upward jump model

JOURNAL ARTICLE published June 2014 in Quantitative Finance

Authors: Ming Zhou | Ka Fai Cedric Yiu

Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach

JOURNAL ARTICLE published April 2008 in Quantitative Finance

Authors: Peter J. Meindl | James A. Primbs

Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

JOURNAL ARTICLE published October 2006 in Quantitative Finance

Authors: Valeri I. Zakamouline

Optimization ofN-risky asset portfolios with stochastic variance and transaction costs

JOURNAL ARTICLE published May 2010 in Quantitative Finance

Authors: C. Atkinson | P. Ingpochai

Optimal multi-asset trading with linear costs: a mean-field approach

JOURNAL ARTICLE published 1 February 2021 in Quantitative Finance

Authors: Matt Emschwiller | Benjamin Petit | Jean-Philippe Bouchaud

Utility Function

OTHER published 26 February 2010 in Encyclopedia of Quantitative Finance

Authors: Massimo Marinacci