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

DOI10.1007/S00780-018-00380-1zbMath1426.91239OpenAlexW2904334725WikidataQ128777186 ScholiaQ128777186MaRDI QIDQ1711719

Sören Christensen, Christoph Belak

Publication date: 18 January 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-018-00380-1

zbMATH Keywords

comparison principletransaction costsdiscontinuous viscosity solutionsstochastic Perron methodportfolio optimisation

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (13)

On an Approximation of Average Cost per Unit Time Impulse Control of Markov Processes ⋮ Optimal investment for retail investors ⋮ A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Nonzero-sum stochastic differential games between an impulse controller and a stopper ⋮ Long-Run Impulse Control with Generalized Discounting ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ A solution technique for Lévy driven long term average impulse control problems ⋮ Competition versus Cooperation: A Class of Solvable Mean Field Impulse Control Problems ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ Impulse control and expected suprema ⋮ Optimal portfolio selection under vanishing fixed transaction costs ⋮ Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

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