97
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Market Influence of Portfolio Optimizers

&
Pages 21-40 | Received 13 Apr 2006, Accepted 23 Dec 2006, Published online: 18 Dec 2007

References

  • Brennan , M. and Schwartz , E. 1989 . Portfolio insurance and financial market equilibrium . Journal of Business , 62 : 455 – 476 .
  • Cuoco , D. and Cvitanic , J. 1998 . Optimal consumption choices for a large investor . Journal of Economic Dynamics and Control , 22 : 401 – 436 .
  • Cvitanic , J. and Ma , J. 1996 . Hedging options for large investor and forward‐backward sides . Annals of Applied Probability , 6 : 370 – 398 .
  • Follmer , H. and Schweizer , M. 1993 . A microeconomic approach to diffusion models for stock prices . Mathematical Finance , 3 : 1 – 23 .
  • Frey , R. and Stremme , A. 1997 . Market volatility and feedback effects from dynamic hedging . Mathematical Finance , 7 : 351 – 374 .
  • Howard , R. 1960 . Dynamic Programming and Markov Processes , Cambridge, MA : MIT Press .
  • Jonsson , M. and Keppo , J. 2002 . Option pricing for large agents . Applied Mathematical Finance , 9 : 261 – 272 .
  • Kushner , H. J. and Dupuis , P. G. 1992 . Numerical Methods for Stochastic Control Problems in Continuous Time , Berlin/New York : Springer‐Verlag .
  • Merton , R. C. 1971 . Optimum consumption and portfolio rules in a continuous‐time model . Journal of Economic Theory , 3 : 373 – 413 .
  • Nayak , S. 2006 . “ Equations of Hamilton–Jacobi type and their applications to finance ” . PhD thesis, Stanford University
  • Platen , E. and Schweizer , M. 1998 . On feedback effects from hedging derivatives . Mathematical Finance , 8 : 67 – 84 .
  • Schonbucher , P. J. and Wilmott , P. 2000 . The feedback effects of hedging in illiquid markets . SIAM Journal of Applied Mathematics , 61 : 232 – 272 .
  • Sircar , K. R. and Papanicolaou , G. 1998 . General Black–Scholes models accounting for increased market volatility from hedging strategies . Applied Mathematical Finance , 5 : 45 – 82 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.