Portfolio selection with transaction costs

Universal portfolios with and without transaction costs

COLT '97 Proceedings of the tenth annual conference on Computational learning theory

Optimal Portfolio Hedging with Nonlinear Derivatives and Transaction Costs

Computational Economics

Universal Portfolios With and Without Transaction Costs

Machine Learning - Special issue: computational learning theory, COLT '97

Numerical Schemes for Variational Inequalities Arising in International Asset Pricing

Computational Economics - Special issue on finance and variational inequalities

An additive on-line portfolio selection algorithm

Systems Analysis Modelling Simulation

Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates

The Korean Journal of Computational & Applied Mathematics

Growth Optimal Investment with Transaction Costs

ALT '08 Proceedings of the 19th international conference on Algorithmic Learning Theory

Solving Free-boundary Problems with Applications in Finance

Foundations and Trends® in Stochastic Systems

A tree-weighting approach to sequential decision problems with multiplicative loss

Signal Processing

Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function

Cybernetics and Systems Analysis

Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds

Management Science

Merton Problem with Taxes: Characterization, Computation, and Approximation

SIAM Journal on Financial Mathematics

Continuous-Time Markowitz's Model with Transaction Costs

SIAM Journal on Financial Mathematics

Scalable resources portfolio selection with fairness based on economical methods

UIC'06 Proceedings of the Third international conference on Ubiquitous Intelligence and Computing

Numerical solution of an optimal investment problem with proportional transaction costs

Journal of Computational and Applied Mathematics

Variational inequalities for international general financial equilibrium modeling and computation

Mathematical and Computer Modelling: An International Journal

Optimal cash management under uncertainty

Operations Research Letters

Asset liquidity and the valuation of derivative securities

Journal of Computational and Applied Mathematics

Optimal Investment with High-watermark Performance Fee

SIAM Journal on Control and Optimization

Optimal Market-Making with Risk Aversion

Operations Research

An Option to Reduce Transaction Costs

SIAM Journal on Financial Mathematics

The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

Automatica (Journal of IFAC)

Online portfolio selection: A survey

ACM Computing Surveys (CSUR)