A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
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DOI: 10.1111/1467-9965.00099
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- Basak, Suleyman & Croitoru, Benjamin, 2006.
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- Thomas Breuer & Martin Jandačka, 2008. "Portfolio selection with transaction costs under expected shortfall constraints," Computational Management Science, Springer, vol. 5(4), pages 305-316, October.
- Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
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Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(2), pages 175-201, October.
- Long Nguyen-Thanh, 2003. "Investment Optimization under Constraints," Finance 0301005, University Library of Munich, Germany, revised 09 Mar 2003.
- Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.
- Rytchkov, Oleg, 2016. "Time-Varying Margin Requirements and Optimal Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(2), pages 655-683, April.
- Yuan Zhou & Zhe Wu, 2013. "Mean-Variance Portfolio Selection with Margin Requirements," Journal of Mathematics, Hindawi, vol. 2013, pages 1-9, April.
- Ramírez, Hugo E. & Serrano, Rafael, 2025.
"Optimal investment with insurable background risk and nonlinear portfolio allocation frictions,"
Applied Mathematics and Computation, Elsevier, vol. 485(C).
- Ramírez, H & Serrano, R, 2023. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Documentos de Trabajo 20658, Universidad del Rosario.
- Hugo E. Ramirez & Rafael Serrano, 2023. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Papers 2303.04236, arXiv.org.
- Chou, Pin-Huang & Li, Wen-Shen & Zhou, Guofu, 2006. "Portfolio optimization under asset pricing anomalies," Japan and the World Economy, Elsevier, vol. 18(2), pages 121-142, March.
- Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
- Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
- Gibson, Rajna & Murawski, Carsten, 2013. "Margining in derivatives markets and the stability of the banking sector," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1119-1132.
- Chen, Yingshan & Dai, Min & Xu, Jing & Xu, Mingyu, 2015. "Superhedging under ratio constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 250-264.
- Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, University Library of Munich, Germany, revised 25 Mar 2003.
- Rafael Serrano & Camilo Castillo, 2018. "ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach," Papers 1810.08466, arXiv.org, revised Aug 2021.
- David C. Ling & Yan Lu & Sugata Ray, 2021. "How do Personal Real Estate Transactions Affect Productivity and Risk Taking? Evidence from Professional Asset Managers," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S1), pages 7-40, March.
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