Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit
From MaRDI portal
Publication:5869806
DOI10.1137/21M1462179zbMath1498.91375OpenAlexW4296593312MaRDI QIDQ5869806
Erhan Bayraktar, Christoph Belak, Sören Christensen, Frank Thomas Seifried
Publication date: 29 September 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/21m1462179
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items
Cites Work
- Unnamed Item
- On using shadow prices in portfolio optimization with transaction costs
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Viscosity solutions of Hamilton-Jacobi equations
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Utility maximisation in a factor model with constant and proportional transaction costs
- Optimal investment with transaction costs and without semimartingales
- Risk sensitive asset management with transaction costs
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
- Asymptotics for fixed transaction costs
- Impulsive control of portfolios
- Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
- On the solution of general impulse control problems using superharmonic functions
- The mathematics of arbitrage
- Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs
- Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case
- On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
- A General Verification Result for Stochastic Impulse Control Problems
- Optimal Impulse Control of Portfolios
- User’s guide to viscosity solutions of second order partial differential equations
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
- Optimal portfolio selection under vanishing fixed transaction costs
- Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
- Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games
- Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
- Portfolio Selection with Transaction Costs
- Optimal investment for retail investors
