18 citations to 10.1007/s00780-003-0114-3 (Crossref Cited-By Service)
  1. Hans-Georg Beyer, Steffen Finck, Thomas Breuer, “Evolution on trees: On the design of an evolution strategy for scenario-based multi-period portfolio optimization under transaction costs”, Swarm and Evolutionary Computation, 17, 2014, 74  crossref
  2. Christoph Belak, Joern Sass, “Finite-Horizon Optimal Investment with Transaction Costs: Construction of the Optimal Strategies”, SSRN Journal, 2015  crossref
  3. Erhan Bayraktar, Yuchong Zhang, “Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs”, SSRN Journal, 2014  crossref
  4. Erhan Bayraktar, Yuchong Zhang, “Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs”, SIAM J. Control Optim., 53, № 1, 2015, 91  crossref
  5. Thomas Breuer, Martin Jandačka, “Portfolio selection with transaction costs under expected shortfall constraints”, Comput Manage Sci, 5, № 4, 2008, 305  crossref
  6. Bruno Bouchard, Elyes Jouini, Encyclopedia of Quantitative Finance, 2010  crossref
  7. Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette, “Consumption-investment problem with transaction costs for Lévy-driven price processes”, Finance Stoch, 20, № 3, 2016, 705  crossref
  8. Christoph Belak, Olaf Menkens, Jörn Sass, “On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs”, SIAM J. Control Optim., 53, № 5, 2015, 2878  crossref
  9. Albrecht Irle, Jörn Sass, Stochastic Finance, 2006, 321  crossref
  10. Christoph Belak, Olaf Menkens, Jörn Sass, “Worst-case portfolio optimization with proportional transaction costs”, Stochastics, 87, № 4, 2015, 623  crossref
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