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Utility Maximization Trading Two Futures with Transaction Costs

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References

1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
1990Portfolio Selection with Transaction Costs1,318 cited
1986Capital Market Equilibrium with Transaction Costs1,096 cited
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1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
1997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs223 cited
1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees182 cited
1996On an Investment-Consumption Model with Transaction Costs180 cited
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2006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS126 cited
2010On using shadow prices in portfolio optimization with transaction costs120 cited
2011Asymptotics and duality for the Davis and Norman problem46 cited
2010Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies45 cited

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2012

Homogenization and Asymptotics for Small Transaction Costs

40 cited

2015Asymptotics for fixed transaction costs38 cited

2017Optimal Consumption and Investment with Fixed and Proportional Transaction Costs38 cited

2013Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs31 cited