THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS

Mathematical Finance ◽

10.1111/mafi.12106 ◽

2015 ◽

Vol 27 (3) ◽

pp. 659-703 ◽

Author(s):

Jan Kallsen ◽

Johannes Muhle-Karbe

Keyword(s):

Transaction Costs ◽

General Structure ◽

Optimal Investment ◽

Optimal Investment And Consumption

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The General Structure of Optimal Investment and Consumption with Small Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.2246785 ◽

2013 ◽

Author(s):

Jan Kallsen ◽

Johannes Muhle-Karbe

Keyword(s):

Transaction Costs ◽

General Structure ◽

Optimal Investment ◽

Optimal Investment And Consumption

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Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization ◽

10.1137/120881373 ◽

2013 ◽

Vol 51 (6) ◽

pp. 4414-4449 ◽

Author(s):

Jin Hyuk Choi ◽

Mihai Sîrbu ◽

Gordan Žitković

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Shadow Prices ◽

Well Posedness ◽

Optimal Investment And Consumption

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Asymptotic analysis for optimal investment and consumption with transaction costs

Finance and Stochastics ◽

10.1007/s00780-003-0113-4 ◽

2004 ◽

Vol 8 (2) ◽

pp. 181-206 ◽

Author(s):

Karel Janecek ◽

Steven E. Shreve

Keyword(s):

Asymptotic Analysis ◽

Transaction Costs ◽

Optimal Investment ◽

Optimal Investment And Consumption

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Optimal Investment and Consumption with Transaction Costs

The Annals of Applied Probability ◽

10.1214/aoap/1177004966 ◽

1994 ◽

Vol 4 (3) ◽

pp. 609-692 ◽

Author(s):

S. E. Shreve ◽

H. M. Soner

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Optimal Investment And Consumption

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Finite Horizon Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization ◽

10.1137/070703685 ◽

2009 ◽

Vol 48 (2) ◽

pp. 1134-1154 ◽

Author(s):

Min Dai ◽

Lishang Jiang ◽

Peifan Li ◽

Fahuai Yi

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Finite Horizon ◽

Optimal Investment And Consumption

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Analysis of a Degenerate Parabolic Variational Inequality with Gradient Constraints from Optimal Investment and Consumption with Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.955465 ◽

2007 ◽

Author(s):

Min Dai ◽

Lishang Jiang ◽

Fahuai Yi

Keyword(s):

Variational Inequality ◽

Transaction Costs ◽

Optimal Investment ◽

Parabolic Variational Inequality ◽

Gradient Constraints ◽

Degenerate Parabolic ◽

Optimal Investment And Consumption

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Optimal Investment and Consumption with Fixed and Proportional Transaction Costs

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0006 ◽

2001 ◽

Author(s):

Hong Liu

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Proportional Transaction Costs ◽

Optimal Investment And Consumption

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Optimal Investment and Consumption with Fixed and Proportional Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.243000 ◽

2000 ◽

Author(s):

Hong Liu

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Proportional Transaction Costs ◽

Optimal Investment And Consumption

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Finite Horizon Optimal Investment and Consumption with Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.1518174 ◽

2007 ◽

Author(s):

Min Dai ◽

Lishang Jiang ◽

Peifan Li ◽

Fahuai Yi

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Finite Horizon ◽

Optimal Investment And Consumption

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Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs

Stochastic Analysis and Applications to Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814383585_0003 ◽

2012 ◽

pp. 39-54 ◽

Author(s):

Yingshan Chen ◽

Min Dai ◽

Kun Zhao

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Finite Horizon ◽

Proportional Transaction Costs ◽

Cara Utility ◽

Optimal Investment And Consumption

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