7 citations · 10 across the 2 of their papers we have counts for
2 papers
math.OC2017★ 3 cited
A comparison of control strategies applied to a pricing problem in retail
Asbjørn N. Riseth, Jeff N. Dewynne, Chris L. Farmer
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formula…
q-fin.PM2007★ 7 cited
Correlated multi-asset portfolio optimisation with transaction cost
Siu Lung Law, Chiu Fan Lee, Sam Howison +1
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading me…