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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

https://doi.org/10.1137/07070334x Actions

Utility Maximization Trading Two Futures with Transaction Costs

JOURNAL ARTICLE published January 2013 in SIAM Journal on Financial Mathematics

Authors: Maxim Bichuch | Steven Shreve

https://doi.org/10.1137/110853649 Actions

Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

JOURNAL ARTICLE published January 2021 in SIAM Journal on Financial Mathematics

Research funded by German-Israeli Foundation for Scientific Research and Development (1489-304.6/2019) | Israel Science Foundation (230/21) | National Science Foundation (DMS-2106556)

Authors: Erhan Bayraktar | Christoph Czichowsky | Leonid Dolinskyi | Yan Dolinsky

https://doi.org/10.1137/21m1431382 Actions

Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes

JOURNAL ARTICLE published January 2010 in SIAM Journal on Control and Optimization

Authors: Lihua Bai | Jostein Paulsen

https://doi.org/10.1137/090773210 Actions

A Multi-agent Targeted Trading Equilibrium with Transaction Costs

JOURNAL ARTICLE published 31 March 2024 in SIAM Journal on Financial Mathematics

Research funded by National Science Foundation (DMS-1908255) | National Research Foundation of Korea (002086221G0001278)

Authors: Jin Hyuk Choi | Jetlir Duraj | Kim Weston

https://doi.org/10.1137/22m1542982 Actions

Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs

JOURNAL ARTICLE published January 2012 in SIAM Journal on Financial Mathematics

Authors: Maxim Bichuch

https://doi.org/10.1137/100808046 Actions

Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment

JOURNAL ARTICLE published January 2012 in SIAM Journal on Control and Optimization

Authors: Giuseppe Benedetti | Luciano Campi

https://doi.org/10.1137/110831064 Actions

Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs

JOURNAL ARTICLE published January 2013 in SIAM Journal on Financial Mathematics

Authors: Xinfu Chen | Min Dai

https://doi.org/10.1137/120898991 Actions

An Optimal Algorithm for Minimization of Quadratic Functions with Bounded Spectrum Subject to Separable Convex Inequality and Linear Equality Constraints

JOURNAL ARTICLE published January 2010 in SIAM Journal on Optimization

Authors: Zdeněk Dostál | Radek Kučera

https://doi.org/10.1137/090751414 Actions

Hedging of Claims with Physical Delivery under Convex Transaction Costs

JOURNAL ARTICLE published January 2010 in SIAM Journal on Financial Mathematics

Authors: Teemu Pennanen | Irina Penner

https://doi.org/10.1137/090754182 Actions

Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints

JOURNAL ARTICLE published January 2013 in SIAM Journal on Financial Mathematics

Authors: Ren Liu | Johannes Muhle-Karbe

https://doi.org/10.1137/120885036 Actions

Continuous-Time Markowitz's Model with Transaction Costs

JOURNAL ARTICLE published January 2010 in SIAM Journal on Financial Mathematics

Authors: Min Dai | Zuo Quan Xu | Xun Yu Zhou

https://doi.org/10.1137/080742889 Actions

Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

JOURNAL ARTICLE published January 2002 in SIAM Journal on Control and Optimization

Authors: Bernt Oksendal | Agnès Sulem

https://doi.org/10.1137/s0363012900376013 Actions

Hedging Under an Expected Loss Constraint with Small Transaction Costs

JOURNAL ARTICLE published January 2016 in SIAM Journal on Financial Mathematics

Research funded by Swiss National Foundation (SNF 200021_152555)

Authors: Bruno Bouchard | Ludovic Moreau | H. Mete Soner

https://doi.org/10.1137/15m1006787 Actions

An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs

JOURNAL ARTICLE published January 2009 in SIAM Journal on Control and Optimization

Authors: Giuseppe Carlo Calafiore

https://doi.org/10.1137/080723776 Actions

Homogenization and Asymptotics for Small Transaction Costs

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: H. Mete Soner | Nizar Touzi

https://doi.org/10.1137/120870165 Actions

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

JOURNAL ARTICLE published January 2019 in SIAM Journal on Control and Optimization

Authors: Maxim Bichuch | Ronnie Sircar

https://doi.org/10.1137/18m1208459 Actions

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

JOURNAL ARTICLE published January 2017 in SIAM Journal on Control and Optimization

Research funded by Division of Mathematical Sciences (DMS-1211906,DMS-0739195)

Authors: Maxim Bichuch | Ronnie Sircar

https://doi.org/10.1137/140983859 Actions

Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

JOURNAL ARTICLE published January 2017 in SIAM Journal on Control and Optimization

Authors: Albert Altarovici | Max Reppen | H. Mete Soner

https://doi.org/10.1137/15m1053633 Actions

Finite Horizon Optimal Investment and Consumption with Transaction Costs

JOURNAL ARTICLE published January 2009 in SIAM Journal on Control and Optimization

Authors: Min Dai | Lishang Jiang | Peifan Li | Fahuai Yi

https://doi.org/10.1137/070703685 Actions
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