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He considers the problem of an investment on a finite interval \\([0,T]\\). Let \\(\\{Z_{t}\\}_{0\\leq t\\leq T}\\) be a standard Brownian motion. The market model evolutions for the wealth invested in bonds, the number of shares of a stock, and the stock price are given by \\(dB_{s}=rB_{s}ds-(1+\\varepsilon)S_{s}d L_{s}+ (1-\\varepsilon)S_{s}dM_{s}\\), \\(B_{-t}=B\\), \\(dy_{s}=dL_{s}-dM_{s}\\), \\(y_{-t}=y\\), \\(dS_{s}=S_{s}(\\mu ds+\\sigma dZ_{s})\\), \\(S_{t}=S\\), where \\(r,\\mu\\) and \\(\\sigma\\) are nonnegative constants, \\(\\mu>r\\), \\(\\varepsilon\\in(0,1)\\) is the proportional transaction costs, and \\(L,M\\) represent the cumulative numbers of shares bought or sold respectively at time \\(s\\). Let us denote by \\(c(y,S)=(1-\\varepsilon\\,\\text{sign}\\,y)yS\\) the cash value of a number of shares of stock \\(S\\). The author considers two problems of optimal investment: the problem without a claim (\\(j=1)\\), and the problem with a claim with smooth payoff \\(g(S_{T})\\) (\\(j=w\\)). The wealth at the final time \\(T\\) is given by \\(\\Phi^{(1)}(T,B_{T},y_{T},S_{T})=B_{T}+c(y_{T},S_{T})\\), \\(\\Phi^{(w)}(T,B_{T},y_{T},S_{T})=B_{T}+c(y_{T}-g'(S_{T}),S_{T})-(g(S_{T})-g'(S_{T})S_{T})\\). The value functions are defined as \\(V^{(j)}(t,B,y,S)=\\sup E_{t}^{B,y,S}[U(\\Phi^{(j)}(T,B_{T},y_{T},S_{T}))]\\), \\(j=1,w\\), where the supremum is taken over all admissible strategies. An asymptotic expansion of the value function in powers of \\(\\varepsilon^{1/3}\\) is presented. Also it is obtained a ``nearly optimal'' trading policy that, if followed, produces an expected utility of final wealth that asymptotically matches the value function at the order \\(\\varepsilon^{2/3}\\). As an application of the main results the author considers pricing securities with a mollified call option payoff and a mollified barrier option 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