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Consumption-investment problems with transaction costs: Survey and open problems · Study

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ArticleConsumption-investment problems with transaction costs: Survey and open problems

Abel Cadenillas2000

Article2000

Consumption-investment problems with transaction costs: Survey and open problems

Abel Cadenillas

44 citations·0/0 files stored·Mathematical Methods of Operations Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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2007Brownian Motion and Stochastic Calculus 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2016“Options, Futures, and Other Derivatives”1972Essays in the Theory of Risk-Bearing.1993Dynamic Asset Pricing Theory.2005Controlled Markov Processes and Viscosity Solutions

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2003Dynamic Asset Allocationarticle · 19 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 15 shared references 2003Option pricing with transaction costs using a Markov chain approximationarticle · 15 shared references 2006Dynamic Portfolio Choice and Risk Aversionpreprint · 14 shared references 2004Asymptotic analysis for optimal investment and consumption with transaction costsarticle · 13 shared references 2002Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utilityarticle · 12 shared references

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Year2000

Typearticle

Published2000-02-17

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s001860050002

openalex_workW1963846402

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Cited by

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2012Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs

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2002Utility based option evaluation with proportional transaction costs

2002Transaction costs in finance and inventory research