Utility maximisation in a factor model with constant and proportional transaction costs-Reference-Cited by-同舟云学术

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Utility maximisation in a factor model with constant and proportional transaction costs

Published:2018-12-19 Issue:1 Volume:23 Page:29-96
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Belak Christoph,Christensen Sören

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s00780-018-00380-1/fulltext.html

Reference25 articles.

1. Altarovici, A., Muhle-Karbe, J., Soner, H.M.: Asymptotics for fixed transaction costs. Finance Stoch. 19, 363–414 (2015)

2. Altarovici, A., Reppen, M., Soner, H.M.: Optimal consumption and investment with fixed and proportional transaction costs. SIAM J. Control Optim. 55, 1673–1710 (2017)

3. Azimzadeh, P., Forsyth, P.A.: Weakly chained matrices, policy iteration, and impulse control. SIAM J. Numer. Anal. 54, 1341–1364 (2016)

4. Bayraktar, E., Sîrbu, M.: Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Proc. Am. Math. Soc. 140, 3645–3654 (2012)

5. Bayraktar, E., Sîrbu, M.: Stochastic Perron’s method for Hamilton–Jacobi–Bellman equations. SIAM J. Control Optim. 51, 4274–4294 (2013)

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