Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- 1 January 2002
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 40 (6), 1765-1790
- https://doi.org/10.1137/s0363012900376013
Abstract
No abstract availableThis publication has 14 references indexed in Scilit:
- Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic UtilityMathematical Finance, 2001
- Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and ReservesMathematical Finance, 2000
- Risk sensitive asset management with transaction costsFinance and Stochastics, 2000
- Optimal Central Bank Intervention in the Foreign Exchange MarketJournal of Economic Theory, 1999
- Portfolio optimisation with strictly positive transaction costs and impulse controlFinance and Stochastics, 1998
- On an Investment-Consumption Model with Transaction CostsSIAM Journal on Control and Optimization, 1996
- User’s guide to viscosity solutions of second order partial differential equationsBulletin of the American Mathematical Society, 1992
- Portfolio Selection with Transaction CostsMathematics of Operations Research, 1990
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equationsJournal of Differential Equations, 1990
- Optimal Impulse Control of PortfoliosMathematics of Operations Research, 1988