Optimal portfolio selection under vanishing fixed transaction costs

DOI10.1017/apr.2017.36zbMath1429.91287arXiv1611.01280OpenAlexW3122371643MaRDI QIDQ5233203

Albrecht Irle, Sören Christensen, Andreas W. W. Ludwig

Publication date: 16 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.01280

zbMATH Keywords

impulse controlexcessive functionHunt processesthreshold rule

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Moment-constrained optimal dividends: precommitment and consistent planning ⋮ On an Approximation of Average Cost per Unit Time Impulse Control of Markov Processes ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ A note on asymptotics between singular and constrained control problems of one-dimensional diffusions ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

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