THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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Publication:5283400
DOI10.1111/mafi.12106zbMath1423.91006arXiv1303.3148OpenAlexW3125973117MaRDI QIDQ5283400
Johannes Muhle-Karbe, Jan Kallsen
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.3148
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APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS ⋮ Equilibrium returns with transaction costs ⋮ Existence of a Radner equilibrium in a model with transaction costs ⋮ Simple bounds for utility maximization with small transaction costs ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ Leveraged funds: robust replication and performance evaluation ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ Interbank lending with benchmark rates: Pareto optima for a class of singular control games ⋮ Asymptotic analysis of long‐term investment with two illiquid and correlated assets ⋮ Rebalancing with Linear and Quadratic Costs ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Family optimal investment strategy for a random household expenditure under the CEV model ⋮ Trading with small nonlinear price impact ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ Sensitivity of optimal consumption streams ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Managing inventory with proportional transaction costs ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs ⋮ Robust optimal consumption-investment strategy with non-exponential discounting ⋮ Asymptotics for fixed transaction costs ⋮ Optimal liquidity provision ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
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