Utility Maximization Trading Two Futures with Transaction Costs

DOI10.1137/110853649zbMath1282.91296OpenAlexW3122032607MaRDI QIDQ2873119

Maxim Bichuch, Steven E. Shreve

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110853649

zbMATH Keywords

optimal controlasymptotic analysistransaction costsutility maximization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (16)

General indifference pricing with small transaction costs ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Penalty method for portfolio selection with capital gains tax ⋮ Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ A multi-asset investment and consumption problem with transaction costs ⋮ Managing inventory with proportional transaction costs ⋮ Portfolio Choice with Transaction Costs: A User’s Guide ⋮ Asymptotics for fixed transaction costs ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

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