Optimal Consumption and Investment with Fixed and Proportional Transaction Costs (Q5266527): Difference between revisions

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+Asymptotics for fixed transaction costs
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+PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
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+On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
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+Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
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+Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
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+Utility Maximization Trading Two Futures with Transaction Costs
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+Q4856703
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+User’s guide to viscosity solutions of second order partial differential equations
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Duality theory for portfolio optimisation under transaction costs
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+Portfolio Selection with Transaction Costs
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+Optimal Impulse Control of Portfolios
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+Controlled Markov processes and viscosity solutions
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+Transaction costs, trading volume, and the liquidity premium
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+Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
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+Q3511650
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+Optimal portfolio policies under fixed and proportional transaction costs
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+Asymptotic analysis of optimal investment and consumption with transaction costs.
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+Markets with transaction costs. Mathematical theory.
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+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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+OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
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+Portfolio optimisation with strictly positive transaction costs and impulse control
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Portfolio selection with transactions costs
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+OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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+Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
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+Q4315289
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+Q5602035
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+Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
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+Optimal investment and consumption with transaction costs
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+Optimal Control with State-Space Constraint I
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+Optimal Control with State-Space Constraint. II
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+Homogenization and Asymptotics for Small Transaction Costs
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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