Asymptotic analysis of long‐term investment with two illiquid and correlated assets (Q6054437): Difference between revisions

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+Asymptotics for fixed transaction costs
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+Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
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+PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
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+Risk sensitive asset management with transaction costs
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+Q5491035
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+Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
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+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
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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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+Finite Horizon Optimal Investment and Consumption with Transaction Costs
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+Continuous-Time Markowitz's Model with Transaction Costs
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+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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+Portfolio Selection with Transaction Costs
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+European Option Pricing with Transaction Costs
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+Investment Strategies under Transaction Costs: The Finite Horizon Case
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+LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
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+The Eigenvalue Problem of Singular Ergodic Control
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+Asymptotic analysis of optimal investment and consumption with transaction costs.
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+On using shadow prices in portfolio optimization with transaction costs
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+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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+The preferability of investment through a mutual fund
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+Lifetime investment and consumption with recursive preferences and small transaction costs
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+Small‐cost asymptotics for long‐term growth rates in incomplete markets
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+Optimum consumption and portfolio rules in a continuous-time model
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+A computational scheme for optimal investment - consumption with proportional transaction costs
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+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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+Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
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+Optimal investment and consumption with transaction costs
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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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