Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit
Author:
Funder
Susan M. Smith
National Science Foundation
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Reference32 articles.
1. Asymptotics for fixed transaction costs
2. Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
3. Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
4. Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case
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