THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
From MaRDI portal
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
Related Items (28)
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
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Transaction costs, trading volume, and the liquidity premium
- On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
- On using shadow prices in portfolio optimization with transaction costs
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Approximating random variables by stochastic integrals
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Futures trading with transaction costs
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
- On the structure of general mean-variance hedging strategies
- Portfolios and risk premia for the long run
- The numéraire portfolio in semimartingale financial models
- Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
- Homogenization and Asymptotics for Small Transaction Costs
- Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
- Continuous-Time Markowitz's Model with Transaction Costs
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
- A Minimum Variance Result in Continuous Trading Portfolio Optimization
- Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
- Investment policies for expanding businesses optimal in a long‐run sense
- Portfolio Selection with Transaction Costs
This page was built for publication: THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS