Asymptotic analysis for optimal investment and consumption with transaction costs
摘要：
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is power utility. We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers of transaction cost parameter. We also obtain a "nearly optimal" strategy, whose utility asymptotically matches the leading terms in the value function.
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DOI：
10.1007/s00780-003-0113-4
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年份：
2004
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来源期刊
Finance & Stochastics
2004/05
引用走势
2013
被引量：41
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