Asymptotic analysis of long‐term investment with two illiquid and correlated assets

DOI10.1111/mafi.12360zbMath1522.91212MaRDI QIDQ6054437

Unnamed Author, Xinfu Chen, Cong Qin, Min Dai

Publication date: 28 September 2023

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

zbMATH Keywords

correlationasymptotic expansiontransaction costsmultiple assets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Asymptotic expansions of solutions to PDEs (35C20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items

Limit equations of adaptive Erlangization and their application to environmental management

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• On using shadow prices in portfolio optimization with transaction costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• A computational scheme for optimal investment - consumption with proportional transaction costs
• The preferability of investment through a mutual fund
• Optimal investment and consumption with transaction costs
• Asymptotic analysis of optimal investment and consumption with transaction costs.
• Risk sensitive asset management with transaction costs
• Asymptotics for fixed transaction costs
• Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
• Homogenization and Asymptotics for Small Transaction Costs
• Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
• Continuous-Time Markowitz's Model with Transaction Costs
• Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
• Finite Horizon Optimal Investment and Consumption with Transaction Costs
• User’s guide to viscosity solutions of second order partial differential equations
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Investment Strategies under Transaction Costs: The Finite Horizon Case
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Small‐cost asymptotics for long‐term growth rates in incomplete markets
• European Option Pricing with Transaction Costs
• Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
• THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
• The Eigenvalue Problem of Singular Ergodic Control
• Penalty methods for continuous-time portfolio selection with proportional transaction costs
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Portfolio Selection with Transaction Costs
• Lifetime investment and consumption with recursive preferences and small transaction costs