Asymptotic analysis of optimal investment and consumption with transaction costs.

DOI10.1007/S00780-003-0113-4zbMATH Open1098.91051OpenAlexW1976551585WikidataQ110634024 ScholiaQ110634024MaRDI QIDQ1887271FDOQ1887271

Authors: Karel Janeçek, Steven Shreve 

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0113-4

Recommendations

• Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
• Asymptotic analysis for Merton's problem with transaction costs in power utility case
• Optimal consumption and investment with fixed and proportional transaction costs
• Optimal investment and consumption with transaction costs
• Finite horizon optimal investment and consumption with transaction costs

zbMATH Keywords

asymptotic analysisoptimal controltransaction costsutility maximization

Mathematics Subject Classification ID

Portfolio theory (91G10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (50)

• Asymptotics and duality for the Davis and Norman problem
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
• Rebalancing with Linear and Quadratic Costs
• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
• 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
• Asymptotics for fixed transaction costs
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
• Portfolio Choice with Transaction Costs: A User’s Guide
• Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
• THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
• Log-optimal investment in the long run with proportional transaction costs when using shadow prices
• Optimal rebalancing frequencies for multidimensional portfolios
• Trading with small nonlinear price impact
• Optimal liquidity provision
• Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon
• Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
• A multi-asset investment and consumption problem with transaction costs
• Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
• Asymptotic analysis of long‐term investment with two illiquid and correlated assets
• Transaction costs, trading volume, and the liquidity premium
• Leverage management in a bull-bear switching market
• A note on finite horizon optimal investment and consumption with transaction costs
• Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
• Existence of a Radner equilibrium in a model with transaction costs
• Shadow price in the power utility case
• Stability of Radner equilibria with respect to small frictions
• Investment strategies in the long run with proportional transaction costs and a HARA utility function
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Title not available (Why is that?)
• A dynamic equilibrium model of imperfectly integrated financial markets
• A computational scheme for optimal investment - consumption with proportional transaction costs
• Simple bounds for utility maximization with small transaction costs
• Asymptotic analysis for target asset portfolio allocation with small transaction costs
• Von Neumann–Gale model, market frictions and capital growth
• Benefits of fluctuating exchange rates on the investor's wealth
• The dual optimizer for the growth-optimal portfolio under transaction costs
• INVESTING WITH LIQUID AND ILLIQUID ASSETS
• Futures trading with transaction costs
• Optimal investment in the foreign exchange market with proportional transaction costs
• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
• Optimal investment with transaction costs and dividends for an insurer
• Optimal investment in an illiquid market with search frictions and transaction costs
• General indifference pricing with small transaction costs
• Optimal Switching between Locking Down and Opening the Economy Because of an Infection
• Asymptotic analysis for Merton's problem with transaction costs in power utility case
• A unified approach to portfolio optimization with linear transaction costs
• A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs
• Hedging Under an Expected Loss Constraint with Small Transaction Costs

This page was built for publication: Asymptotic analysis of optimal investment and consumption with transaction costs.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1887271)