On an investment-consumption model with transaction costs: an asymptotic analysis

DOI10.1080/13504869700000003zbMath1466.91276OpenAlexW1969820672MaRDI QIDQ4994412

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Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869700000003

zbMATH Keywords

transaction costsportfolio managementinvestment-consumption model

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Portfolio management with transaction costs
• On an Investment-Consumption Model with Transaction Costs
• Portfolio Selection with Transaction Costs