Cover Image

Comparative Statics of Trading Boundary in Finite Horizon Portfolio Selection with Proportional Transaction Costs

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Li, Jintao, Qian, Shuaijie
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Non-Concave Utility Maximization with Transaction Costs
by: Qian, Shuaijie, et al.
Published: (2023)

Optimal Contract Design with Quadratic Effort Cost
by: Chen, Xinfu, et al.
Published: (2025)

Hedging Options on Asset Portfolios against Just One Underlying Asset in the Presence of Transaction Costs
by: Nanyonga, Erina, et al.
Published: (2025)

Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
by: Brugière, Pierre, et al.
Published: (2025)

Partial Information in a Mean‐Variance Portfolio Selection Game
by: Yu‐Jui Huang, et al.
Published: (2025)

Time-Consistent Portfolio Selection for Rank-Dependent Utilities in an Incomplete Market
by: Wei, Jiaqin, et al.
Published: (2024)

The Optimal Mean–Variance Selling Problem With Finite Horizon
by: Peter Johnson, et al.
Published: (2026)

Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model
by: Li, Yuchen, et al.
Published: (2022)

The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning
by: Li, Yu, et al.
Published: (2025)

Equilibrium Investment with Random Risk Aversion: (Non-)uniqueness, Optimality, and Comparative Statics
by: Cheng, Weilun, et al.
Published: (2025)

Emissions-Robust Portfolios
by: Qureshi, Khizar, et al.
Published: (2026)

On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy
by: Ma, Chutian, et al.
Published: (2025)

Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs
by: Anthropelos, Michail, et al.
Published: (2024)

Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions
by: Gang, Tae Ung, et al.
Published: (2024)

Optimal Portfolio Choice With Cross‐Impact Propagators
by: Eduardo Abi Jaber, et al.
Published: (2026)

Mean Field Portfolio Games with Epstein-Zin Preferences
by: Fu, Guanxing, et al.
Published: (2025)

Robust Bernoulli Mixture Models for Credit Portfolio Risk
by: Jonathan Ansari, et al.
Published: (2025)

The Interplay between Utility and Risk in Portfolio Selection
by: Baggiani, Leonardo, et al.
Published: (2025)

Explicit Recursive Construction of Super-Replication Prices under Proportional Transaction Costs
by: Lepinette, Emmanuel, et al.
Published: (2025)

Eigen Portfolios: From Single Component Models to Ensemble Approaches
by: Zhou, ZhengXiang, et al.
Published: (2025)

Single-Period Portfolio Selection via Information Projection
by: Yang, Bo-Yu, et al.
Published: (2026)

Portfolio Optimization under Transaction Costs with Recursive Preferences
by: Herdegen, Martin, et al.
Published: (2024)

Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments
by: Han, Jeong Yu, et al.
Published: (2022)

Boundary conditions at infinity for Black-Scholes equations
by: Tsuzuki, Yukihiro
Published: (2024)

Neural Functionally Generated Portfolios
by: Monoyios, Michael, et al.
Published: (2025)

Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
by: Liang, Gechun, et al.
Published: (2023)

Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
by: Chen, Yuling Max, et al.
Published: (2025)

Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model
by: Yan, Dong, et al.
Published: (2025)

Correction to “Neural Optimal Stopping Boundary”
Published: (2025)

Quantum Probability Theoretic Asset Return Modeling: A Novel Schrödinger-Like Trading Equation and Multimodal Distribution
by: Lin, Li
Published: (2024)

Mean Field Game of High-Frequency Anticipatory Trading
by: Cheng, Xue, et al.
Published: (2024)

Unwinding Stochastic Order Flow: When to Warehouse Trades
by: Marcel Nutz, et al.
Published: (2025)

Pontryagin-Guided Policy Optimization for Merton's Portfolio Problem
by: Huh, Jeonggyu, et al.
Published: (2024)

Information-Based Trading
by: Bouzianis, George, et al.
Published: (2022)

An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
by: Liang, Zongxia, et al.
Published: (2024)

Model-free Analysis of Dynamic Trading Strategies
by: Ananova, Anna, et al.
Published: (2020)

Rough Path Signatures: Learning Neural RDEs for Portfolio Optimization
by: Alzahrani, Ali Atiah
Published: (2025)

Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models
by: Lalor, Luca, et al.
Published: (2024)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
by: Wu, Fan, et al.
Published: (2026)

Minimizing the Value-at-Risk of Loan Portfolio via Deep Neural Networks
by: Di Wang, Albert, et al.
Published: (2025)