Portfolio Choice with Transaction Costs: A User’s Guide
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Publication:2847837
DOI10.1007/978-3-319-00413-6_3zbMath1275.91122arXiv1207.7330MaRDI QIDQ2847837
Johannes Muhle-Karbe, Paolo Guasoni
Publication date: 11 September 2013
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.7330
91B16: Utility theory
91B24: Microeconomic theory (price theory and economic markets)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
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Long Time Asymptotics for Optimal Investment, Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment, Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon, Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations, INVESTING WITH LIQUID AND ILLIQUID ASSETS, Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets, The Impact of Proportional Transaction Costs on Systematically Generated Portfolios, Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment, Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment, On the game interpretation of a shadow price process in utility maximization problems under transaction costs, A multi-asset investment and consumption problem with transaction costs, The self-financing equation in limit order book markets, Dynamic mean-variance problem with frictions, Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition, Homotopy analysis method for portfolio optimization problem under the 3/2 model, Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
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