The General Structure Of Optimal Investment And Consumption With Small Transaction Costs
Work
Year: 2015
Type: article
Abstract: We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with r... more
Source: Mathematical Finance
Authors Jan Kallsen, Johannes Muhle‐Karbe
Institutions Kiel University, ETH Zurich
Cites: 71
Cited by: 75
Related to: 10
FWCI: 14.56
Citation percentile (by year/subfield): 96.77
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green
Funders Deutsche Forschungsgemeinschaft, Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung
Grant IDS KA 1682/4‐1,