Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs

DOI10.1137/100808046zbMath1255.91390arXiv1112.2749OpenAlexW3121983332MaRDI QIDQ4902221

Maxim Bichuch

Publication date: 25 January 2013

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

Full work available at URL: https://arxiv.org/abs/1112.2749

zbMATH Keywords

optimal controlasymptotic analysistransaction costsutility maximization

Mathematics Subject Classification ID

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

Related Items (22)

General indifference pricing with small transaction costs ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ Benefits of fluctuating exchange rates on the investor's wealth ⋮ Optimal investment with correlated stochastic volatility factors ⋮ Rebalancing with Linear and Quadratic Costs ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Asymptotic analysis for target asset portfolio allocation with small transaction costs ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ Portfolio Choice with Transaction Costs: A User’s Guide ⋮ Asymptotics for fixed transaction costs ⋮ Optimal Switching between Locking Down and Opening the Economy Because of an Infection ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

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