Asymptotic analysis of optimal investment and consumption with transaction costs.
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Cited in
(55)- Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
- Asymptotic analysis of long‐term investment with two illiquid and correlated assets
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Simple bounds for utility maximization with small transaction costs
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- A dynamic equilibrium model of imperfectly integrated financial markets
- The general structure of optimal investment and consumption with small transaction costs
- Optimal liquidity provision
- Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis
- Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
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- SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
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- A note on finite horizon optimal investment and consumption with transaction costs
- On an investment-consumption model with transaction costs: an asymptotic analysis
- scientific article; zbMATH DE number 1867091 (Why is no real title available?)
- Optimal investment in an illiquid market with search frictions and transaction costs
- Optimal rebalancing frequencies for multidimensional portfolios
- A unified approach to portfolio optimization with linear transaction costs
- Investing with liquid and illiquid assets
- Asymptotics for fixed transaction costs
- Shadow price in the power utility case
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- Stability of Radner equilibria with respect to small frictions
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- Long horizons, high risk aversion, and endogenous spreads
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
- Investment strategies in the long run with proportional transaction costs and a HARA utility function
- General indifference pricing with small transaction costs
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