Futures trading with transaction costs

zbMath1276.91094MaRDI QIDQ1928878

Karel Janeček, Steven E. Shreve

Publication date: 4 January 2013

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ijm/1348505528

zbMATH Keywords

utility functionsarithmetic Brownian motionfutures contractsMerton analysistransection costs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items

General indifference pricing with small transaction costs ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ An explicit formula for the Skorokhod map on \([0,a\)] ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ Scaling limits of processes with fast nonlinear mean reversion ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients

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