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

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

Jan Kallsen2013

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Preprintgreen2013

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

Jan Kallsen · Johannes Muhle‐Karbe

35 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1952PORTFOLIO SELECTION*1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1958Liquidity Preference as Behavior Towards Risk 2005Asset pricing with liquidity risk 1987The Relation Between Price Changes and Trading Volume: A Survey 1998Methods of Mathematical Finance 1990Portfolio Selection with Transaction Costs

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2015THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTSarticle · 44 shared references 2017Optimal Consumption and Investment with Fixed and Proportional Transaction Costsarticle · 17 shared references 2012Transaction Costs, Trading Volume, and the Liquidity Premiumpreprint · 17 shared references 2015Asymptotics for fixed transaction costsarticle · 16 shared references 2013Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costsarticle · 15 shared references 2019Liquidity regimes and optimal dynamic asset allocationarticle · 13 shared references

Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2246785

openalex_workW2099775780

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