Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Shiva Chandra and Andrew Papanicolaou
| Year of publication: |
2019
|
|---|---|
| Authors: | Chandra, Shiva ; Papanicolaou, Andrew |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 7, p. 1-18
|
| Subject: | Transaction costs | singular perturbation expansion | stochastic control | Merton problem | aim portfolio | Transaktionskosten | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500390 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153330