Homogenization and Asymptotics for Small Transaction Costs
نویسندگان
چکیده
منابع مشابه
Homogenization and Asymptotics for Small Transaction Costs
We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic control problem which can be solved in closed form in the one-dimensional case. Unlike the existing literature, we consider a general utility function and ge...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2013
ISSN: 0363-0129,1095-7138
DOI: 10.1137/120870165