Asymptotics for fixed transaction costs

DOI10.1007/s00780-015-0261-3zbMath1336.91062arXiv1306.2802OpenAlexW2148986687WikidataQ57635857 ScholiaQ57635857MaRDI QIDQ2339123

Halil Mete Soner, Johannes Muhle-Karbe, Albert Altarovici

Publication date: 30 March 2015

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

Full work available at URL: https://arxiv.org/abs/1306.2802

zbMATH Keywords

homogenizationasymptotic expansionsviscosity solutionsoptimal investment and consumptionfixed transaction costs

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (18)

The multi-dimensional stochastic Stefan financial model for a portfolio of assets ⋮ Dynamic mean-variance problem with frictions ⋮ General indifference pricing with small transaction costs ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Optimal investment for retail investors ⋮ Asymptotic analysis of long‐term investment with two illiquid and correlated assets ⋮ Rebalancing with Linear and Quadratic Costs ⋮ Trading with small nonlinear price impact ⋮ An expansion in the model space in the context of utility maximization ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Utility maximisation in a factor model with constant and proportional transaction costs ⋮ Switching cost models as hypothesis tests ⋮ Super-replication with fixed transaction costs ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ Optimal portfolio selection under vanishing fixed transaction costs ⋮ Robust optimal consumption-investment strategy with non-exponential discounting ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

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