SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS (Q5207494)
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scientific article; zbMATH DE number 7147024
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS |
scientific article; zbMATH DE number 7147024 |
Statements
SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS (English)
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2 January 2020
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order book
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transaction costs
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quadratic penalty
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singular perturbation expansion
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stochastic control
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Merton problem
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aim portfolio
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