Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem

By Min Dai, Fahuai Yi. 2009

133 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/62ab638df4d4b4e7ab68be7d0ce42f8a75449b02

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Johannes Muhle‐Karbe
2. Jan Kallsen

In Economics and Econometrics

1. Johannes Muhle‐Karbe
2. Jan Kallsen

In Finance

1. Johannes Muhle‐Karbe
2. Jan Kallsen
3. Peter Tankov
4. Walter Schachermayer
5. Fred Espen Benth
6. Ernst Eberlein
7. Thomas Goll
8. Ole E. Barndorff-Nielsen

Citations in the corpus

• On using shadow prices in portfolio optimization with transaction costs (2010, background): “in the finite horizon case [1, 9 , 28], the case of multiple stocks [1] and stocks modelled as jump diffusions [12].”