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ArticleAsymptotics for fixed transaction costs

Albert Altarovici2015

Article2015

Asymptotics for fixed transaction costs

Albert Altarovici · Johannes Muhle‐Karbe · Halil Mete Soner

38 citations·0/0 files stored·Finance and Stochastics

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

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References

2005Controlled Markov Processes and Viscosity Solutions 1990Portfolio Selection with Transaction Costs 1986Capital Market Equilibrium with Transaction Costs 1994Optimal Investment and Consumption with Transaction Costs 1999Transaction costs and predictability: some utility cost calculations 1976Portfolio selection with transactions costs 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 2004Asset Prices and Trading Volume under Fixed Transactions Costs

Cited by

2017Optimal Consumption and Investment with Fixed and Proportional Transaction Costs 2020Lifetime investment and consumption with recursive preferences and small transaction costs 2017Asymptotic lower bounds for optimal tracking: A linear programming approach 2017A Primer on Portfolio Choice with Small Transaction Costs 2019Portfolio choice with small temporary and transient price impact 2018Switching Cost Models as Hypothesis Tests

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2017Optimal Consumption and Investment with Fixed and Proportional Transaction Costsarticle · 25 shared references 2017A Primer on Portfolio Choice with Small Transaction Costsreview · 21 shared references 2013The General Structure of Optimal Investment and Consumption with Small Transaction Costspreprint · 16 shared references 2012Homogenization and Asymptotics for Small Transaction Costspreprint · 14 shared references 2015Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Casearticle · 13 shared references 2015THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTSarticle · 12 shared references

Details

Year2015

Typearticle

Published2015-02-17

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-015-0261-3

openalex_workW2148986687

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