Asymptotic analysis for target asset portfolio allocation with small transaction costs

DOI10.1016/j.insmatheco.2015.10.014zbMath1348.91258OpenAlexW2179553222MaRDI QIDQ903330

Cong Liu, Harry Zheng

Publication date: 5 January 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/30823

zbMATH Keywords

asymptotic analysisMagnus expansiontracking errorproportional transaction coststarget asset portfolio allocation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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