Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach

DOI10.1016/j.ejor.2018.12.022zbMath1431.91368OpenAlexW2906547263WikidataQ128690036 ScholiaQ128690036MaRDI QIDQ1719648

Mariateresa Ciommi, Francesca Mariani, Maria Cristina Recchioni

Publication date: 11 February 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.12.022

zbMATH Keywords

financestochastic control problemsshadow pricesMerton's portfoliotrading costs

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (2)

Optimal solution of the liquidation problem under execution and price impact risks ⋮ A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

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