Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
https://epubs.siam.org/doi/pdf/10.1137/15M1053633
Reference39 articles.
1. Asymptotics for fixed transaction costs
2. PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
3. Transaction costs and predictability: some utility cost calculations
4. On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
5. Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
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