Asymptotic analysis for Merton's problem with transaction costs in power utility case
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Publication:2811107
DOI10.1080/17442508.2013.879142zbMATH Open1337.91075arXiv1309.3721OpenAlexW2013593977MaRDI QIDQ2811107FDOQ2811107
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Abstract: We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of the fractional power series expansions of the value function and the no-trading region.
Full work available at URL: https://arxiv.org/abs/1309.3721
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