Asymptotic analysis of optimal investment and consumption with transaction costs.
From MaRDI portal
(Redirected from Publication:1887271)
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
Cited in
(58)- Asymptotics and duality for the Davis and Norman problem
- Rebalancing with Linear and Quadratic Costs
- Utility maximization trading two futures with transaction costs
- On an investment-consumption model with transaction costs: an asymptotic analysis
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
- Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
- Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis
- Asymptotics for fixed transaction costs
- Portfolio Choice with Transaction Costs: A User’s Guide
- SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Investment-consumption optimization with transaction cost and learning about return predictability
- Optimal rebalancing frequencies for multidimensional portfolios
- Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
- Investing with liquid and illiquid assets
- Trading with small nonlinear price impact
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
- Optimal liquidity provision
- A multi-asset investment and consumption problem with transaction costs
- Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification
- Optimal switching between locking down and opening the economy because of an infection
- 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
- 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
- scientific article; zbMATH DE number 1867091 (Why is no real title available?)
- The general structure of optimal investment and consumption with small transaction costs
- A dynamic equilibrium model of imperfectly integrated financial markets
- A computational scheme for optimal investment - consumption with proportional transaction costs
- Asymptotic analysis for target asset portfolio allocation with small transaction costs
- Simple bounds for utility maximization with small transaction costs
- Unified asymptotics for investment under illiquidity: transaction costs and search frictions
- Benefits of fluctuating exchange rates on the investor's wealth
- Von Neumann–Gale model, market frictions and capital growth
- Hedging under an expected loss constraint with small transaction costs
- Investment and consumption in regime-switching models with proportional transaction costs and log utility
- Long horizons, high risk aversion, and endogenous spreads
- The dual optimizer for the growth-optimal portfolio under transaction costs
- Futures trading with transaction costs
- Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon
- Optimal consumption and investment with fixed and proportional transaction costs
- Optimal investment in the foreign exchange market with proportional transaction costs
- Can continuous-time portfolio optimization really be applied?
- Log-optimal investment in the long run with proportional transaction costs when using shadow prices.
- Homogenization and asymptotics for small 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
- Asymptotic analysis for Merton's problem with transaction costs in power utility case
- General indifference pricing with small transaction costs
- A unified approach to portfolio optimization with linear transaction costs
- A numerical scheme for a singular control problem: investment-consumption under proportional 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)
