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Found 705 Documents (Results 1–100)

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Advancement of optimal portfolio models with short-sales and transaction costs: methodology and effectiveness. (English) Zbl 1454.91217

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3649-3674 (2021).
MSC:  91G10 91G70
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Behavioral investors in conic market models. (English. Russian original) Zbl 1448.91280

Theory Probab. Appl. 65, No. 2, 330-337 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 420-430 (2020).
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Approximate hedging with constant proportional transaction costs in financial markets with jumps. (English. Russian original) Zbl 1460.91274

Theory Probab. Appl. 65, No. 2, 224-248 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 281-311 (2020).
MSC:  91G20
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Supporting prices in a stochastic von Neumann-Gale model of a financial market. (English. Russian original) Zbl 1450.91030

Theory Probab. Appl. 64, No. 4, 553-563 (2020); translation from Teor. Veroyatn. Primen. 64, No. 4, 692-706 (2019).
MSC:  91G15 91G10
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A financial model for a multi-period portfolio optimization problem with a variational formulation. (English) Zbl 1426.49011

Khan, Akhtar A. (ed.) et al., Variational analysis and set optimization. Developments and applications in decision making. Boca Raton, FL: CRC Press/Science Publishers. 25-43 (2019).
MSC:  49J40 49J35 91B24
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