Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

DOI10.1007/S10479-005-6242-8MaRDI QIDQ816360zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 10 March 2006

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-005-6242-8

zbMATH Keywords

optimal consumptionportfolio selectiontransaction costsno-arbitragebid-ask spreads

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cites work

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• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and arbitrage in incomplete, finite state security markets
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
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Cited in

(2)

• NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
• A note on a minimax rule for portfolio selection and equilibrium price system

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