Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
نویسندگان
چکیده
منابع مشابه
Portfolio Selection with Transaction Costs
In this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account paying a fixed rate of interested a stock whose price is a log-normal diffusion. This problem was solved by Merton and others when transactions between bank and stock are costless. Here we suppose that there are charges on all transactions equal to a fixed pwrcentage of the a...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2013
ISSN: 1945-497X
DOI: 10.1137/120885036