On the public citation graph

A unified approach to portfolio optimization with linear transaction costs

https://doi.org/10.1007/s00186-005-0005-9
0 signed · 46 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118750544.ch8openalex-snapshot
Numerical Solution of Partial Differential Equations
inferredcites →https://doi.org/10.1007/0-387-31071-1openalex-snapshot
Controlled Markov Processes and Viscosity Solutions
inferredcites →https://doi.org/10.1007/978-1-4757-2435-6openalex-snapshot
Mathematical Finance
inferredcites →https://doi.org/10.1007/978-1-4757-2435-6_4openalex-snapshot
American Options and Transaction Fees
inferredcites →https://doi.org/10.1007/s001860050083openalex-snapshot
Some applications of impulse control in mathematical finance
inferredcites →https://doi.org/10.1007/s001860400359openalex-snapshot
Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach
inferredcites →https://doi.org/10.1007/s00780-003-0113-4openalex-snapshot
Asymptotic analysis for optimal investment and consumption with transaction costs
inferredcites →https://doi.org/10.1007/s007800050034openalex-snapshot
Portfolio optimisation with strictly positive transaction costs and impulse control
inferredcites →https://doi.org/10.1007/s007800050046openalex-snapshot
Option pricing with transaction costs and a nonlinear Black-Scholes equation
inferredcites →https://doi.org/10.1016/0022-0531(71)90038-xopenalex-snapshot
Optimum consumption and portfolio rules in a continuous-time model
inferredcites →https://doi.org/10.1016/0304-405x(79)90015-1openalex-snapshot
Option pricing: A simplified approach
inferredcites →https://doi.org/10.1016/s0165-1889(97)00030-4openalex-snapshot
Optimal delta-hedging under transactions costs
inferredcites →https://doi.org/10.1016/s0304-4068(00)00067-7openalex-snapshot
Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
inferredcites →https://doi.org/10.1017/cbo9781139173056.002openalex-snapshot
Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory
inferredcites →https://doi.org/10.1080/10920277.1997.10595602openalex-snapshot
Optimal Portfolio Selection with Transaction Costs
inferredcites →https://doi.org/10.1080/15326349208807214openalex-snapshot
Impulse control of portfolios with jumps and transaction costs
inferredcites →https://doi.org/10.1080/17442509408833914openalex-snapshot
Controlled markov processes and viscosity solutions
inferredcites →https://doi.org/10.1090/s0273-0979-1992-00266-5openalex-snapshot
User’s guide to viscosity solutions of second order partial differential equations
inferredcites →https://doi.org/10.1093/rfs/3.4.523openalex-snapshot
Convergence from Discrete- to Continuous-Time Contingent Claims Prices
inferredcites →https://doi.org/10.1111/1467-9965.00034openalex-snapshot
An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
inferredcites →https://doi.org/10.1111/j.1467-9965.1995.tb00072.xopenalex-snapshot
PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
inferredcites →https://doi.org/10.1137/0329073openalex-snapshot
Numerical Methods for Stochastic Singular Control Problems
inferredcites →https://doi.org/10.1137/0331022openalex-snapshot
European Option Pricing with Transaction Costs
inferredcites →https://doi.org/10.1137/s0363012900376013openalex-snapshot
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
inferredcites →https://doi.org/10.1137/s0363012993247159openalex-snapshot
On an Investment-Consumption Model with Transaction Costs
inferredcites →https://doi.org/10.1201/9781439897270-14openalex-snapshot
- Numerical Solution of Partial Differential Equations
inferredcites →https://doi.org/10.1214/aoap/1177004966openalex-snapshot
Optimal Investment and Consumption with Transaction Costs
inferredcites →https://doi.org/10.1287/mnsc.40.3.385openalex-snapshot
Investment Strategies under Transaction Costs: The Finite Horizon Case
inferredcites →https://doi.org/10.1287/moor.13.4.588openalex-snapshot
Optimal Impulse Control of Portfolios
inferredcites →https://doi.org/10.1287/moor.15.4.676openalex-snapshot
Portfolio Selection with Transaction Costs
inferredcites →https://doi.org/10.3233/asy-1991-4305openalex-snapshot
Convergence of approximation schemes for fully nonlinear second order equations
inferredcites →https://doi.org/10.5860/choice.27-5158openalex-snapshot
Numerical recipes in Pascal: the art of scientific computing
inferredcites →https://doi.org/10.5860/choice.30-5638openalex-snapshot
Numerical recipes in C: the art of scientific computing

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2243204openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2346304openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2607881openalex-extracted
Worst-Case Approach to Strategic Optimal Portfolio Selection Under Transaction Costs and Trading Limits
inferred← citeshttps://doi.org/10.2139/ssrn.2673881openalex-extracted
Local Discontinuous Galerkin Method for Portfolio Optimization with Transaction Costs
inferred← citeshttps://doi.org/10.1002/num.21836openalex-snapshot
Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
inferred← citeshttps://doi.org/10.1007/s00186-012-0416-3openalex-snapshot
Primal-dual methods for the computation of trading regions under proportional transaction costs
inferred← citeshttps://doi.org/10.1007/s00211-008-0152-zopenalex-snapshot
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
inferred← citeshttps://doi.org/10.1016/j.ejor.2014.12.040openalex-snapshot
Dynamic portfolio optimization with transaction costs and state-dependent drift
inferred← citeshttps://doi.org/10.1016/j.ejor.2016.10.009openalex-snapshot
Massively parallel processing of recursive multi-period portfolio models
inferred← citeshttps://doi.org/10.1016/j.eswa.2010.08.097openalex-snapshot
An optimization model of the portfolio adjusting problem with fuzzy return and a SMO algorithm
inferred← citeshttps://doi.org/10.1016/j.jedc.2014.02.013openalex-snapshot
Consuming Durable Goods When Stock Markets Jump: A Strategic Asset Allocation Approach
inferred← citeshttps://doi.org/10.1080/14697681003785934openalex-snapshot
Dynamic liquidation under market impact
inferred← citeshttps://doi.org/10.1093/imanum/drq044openalex-snapshot
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.