Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

DOI10.1007/S10479-005-6242-8zbMATH Open1112.91323OpenAlexW2042164914MaRDI QIDQ816360FDOQ816360

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

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zbMATH Keywords

optimal consumptionportfolio selectiontransaction costsno-arbitragebid-ask spreads

Mathematics Subject Classification ID

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

Cites Work

• Convex Analysis
• Optimum consumption and portfolio rules in a continuous-time model
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Title not available (Why is that?)
• Martingales and arbitage in securities markets with transaction costs
• No arbitrage in discrete time under portfolio constraints.
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Proper Efficient Points for Maximizations with Respect to Cones
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Portfolio selection and asset pricing
• A simple approach to arbitrage pricing theory
• Arbitrage theory. Introductory lectures on arbitrage-based financial asset pricing
• Optimal consumption and arbitrage in incomplete, finite state security markets
• Title not available (Why is that?)
• Optimal Consumption‐Portfolio Policies With Habit Formation¹
• Optimal Investment and Consumption With Two Bonds and Transaction Costs¹

Cited In (2)

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

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