Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II.
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Large investor trading impacts on volatility”
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II.
Optimal contracts in continuous-time models.
Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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Pricing rules under asymmetric information
Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...
Classical solutions of linear regulator for degenerate diffusions.
Baten, Md.Azizul (2006)
Journal of Applied Mathematics and Stochastic Analysis
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A maximum principle approach to risk indifference pricing with partial information.
An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Some results on Bellman equations of optimal production control in a stochastic manufacturing system.
Baten, Azizul, Kamil, Anton Abdulbasah (2009)
Journal of Probability and Statistics
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An application of dynamic programming principle in corporate international optimal investment and consumption choice problem.
Huang, Zongyuan, Wu, Zhen (2010)
Mathematical Problems in Engineering
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Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
Nikolai Dokuchaev (2010)
ESAIM: Control, Optimisation and Calculus of Variations
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The paper studies optimal portfolio selection for discrete time market models in mean-variance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio.