SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS

DOI10.1142/S0219024919500390zbMath1430.91083arXiv1910.06463OpenAlexW2728047496MaRDI QIDQ5207494

Andrew Papanicolaou, Shiva Chandra

Publication date: 2 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.06463

zbMATH Keywords

stochastic controltransaction costsMerton problemquadratic penaltysingular perturbation expansionorder bookaim portfolio

Mathematics Subject Classification ID

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

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