Homogenization and Asymptotics for Small Transaction Costs
From MaRDI portal
Publication:2862451
DOI10.1137/120870165zbMath1280.91158arXiv1202.6131OpenAlexW3121743528WikidataQ57635884 ScholiaQ57635884MaRDI QIDQ2862451
Publication date: 15 November 2013
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.6131
Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items
General indifference pricing with small transaction costs, THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS, Asymptotic replication with modified volatility under small transaction costs, Hedging Under an Expected Loss Constraint with Small Transaction Costs, Equilibrium returns with transaction costs, Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case, Existence of a Radner equilibrium in a model with transaction costs, Simple bounds for utility maximization with small transaction costs, Asset pricing with general transaction costs: Theory and numerics, Penalty method for portfolio selection with capital gains tax, Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact, Asymptotic analysis of long‐term investment with two illiquid and correlated assets, Rebalancing with Linear and Quadratic Costs, Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case, Trading with small nonlinear price impact, Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon, Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis, Stability of Radner equilibria with respect to small frictions, Optimal rebalancing frequencies for multidimensional portfolios, A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs, An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint, A multi-asset investment and consumption problem with transaction costs, Sensitivity of optimal consumption streams, Managing inventory with proportional transaction costs, Portfolio Choice with Transaction Costs: A User’s Guide, Asymptotics for fixed transaction costs, Optimal liquidity provision, Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
