PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL

DOI10.1111/j.1467-9965.1995.tb00072.xzbMath0866.90010OpenAlexW2078160823MaRDI QIDQ3126241

Paul Wilmott, Colin Atkinson

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00072.x

zbMATH Keywords

perturbation analysisfree-boundary problemoptimal management of a portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Transactions costs and portfolio choice in a discrete-continuous-time setting
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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