Asymptotics of HARA Utility from Terminal Wealth under Proportional Transaction Costs with Decision Lag or Execution Delay and Obligatory Diversification

DOI10.1007/978-3-642-18412-3_18zbMath1232.91637OpenAlexW53820884MaRDI QIDQ5198571

Łukasz Stettner

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18412-3_18

zbMATH Keywords

HARA utilityproportional transaction costslog Lévy asset pricesterminal weath asymptotics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (5)

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ Unnamed Item ⋮ A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag ⋮ Bellman equations for scalar linear convex stochastic control problems

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