Consumption-investment problems with transaction costs: Survey and open problems

DOI10.1007/s001860050002zbMath0947.91042OpenAlexW1963846402MaRDI QIDQ1974021

Abel Cadenillas

Publication date: 12 November 2000

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050002

zbMATH Keywords

surveyoptimal stoppingtransaction costsinvestmentconsumptionstochastic impulse controlstochastic singular control

Mathematics Subject Classification ID

Related Items (19)

Optimal impulse control of a portfolio with a fixed transaction cost ⋮ Subexponential potential asymptotics with applications ⋮ Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Closed-form optimal strategies of continuous-time options with stochastic differential equations ⋮ Possibilistic individual multi-period consumption-investment models ⋮ Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization ⋮ Maximizing the utility of consumption with commutable life annuities ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ Optimal investment in the foreign exchange market with proportional transaction costs ⋮ Optimization of risk policy and dividends with fixed transaction costs under interest rate ⋮ Analysis of the rebalancing frequency in log-optimal portfolio selection ⋮ Optimal Market Making in the Foreign Exchange Market ⋮ Optimal reinsurance-investment and dividends problem with fixed transaction costs ⋮ Portfolio selection with transaction costs under expected shortfall constraints ⋮ Wavelet evolutionary network for complex-constrained portfolio rebalancing ⋮ An impulse control of a geometric Brownian motion with quadratic costs ⋮ Pricing a European Basket Option in the Presence of Proportional Transaction Costs ⋮ Utility based option evaluation with proportional transaction costs

This page was built for publication: Consumption-investment problems with transaction costs: Survey and open problems