Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/120898991
Reference31 articles.
1. On an Investment-Consumption Model with Transaction Costs
2. PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
3. Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
4. Risk-sensitive portfolio optimization with transaction costs
5. Risk sensitive asset management with transaction costs
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