Asymptotic analysis for Merton's problem with transaction costs in power utility case

DOI10.1080/17442508.2013.879142zbMath1337.91075arXiv1309.3721OpenAlexW2013593977MaRDI QIDQ2811107

Jin Hyuk Choi

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.3721

zbMATH Keywords

stochastic controlasymptotic analysistransaction costsutility maximizationshadow price

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Optimal investment in an illiquid market with search frictions and transaction costs

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Shadow price in the power utility case
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• Portfolio selection with transactions costs
• Optimal investment and consumption with transaction costs
• Asymptotic analysis of optimal investment and consumption with transaction costs.
• Asymptotics and duality for the Davis and Norman problem
• Portfolio Selection with Transaction Costs

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