Advanced search
Publication Cover
Communications in Partial Differential Equations Volume 40, 2015 - Issue 11
Submit an article Journal homepage
288
Views
42
CrossRef citations to date
0
Altmetric
Original Articles

Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case

Dylan PossamaïCEREMADE, Université Paris Dauphine, Paris, France
,
H. Mete SonerETH (Swiss Federal Institute of Technology), Zurich, Switzerland;Swiss Finance Institute, Zurich, SwitzerlandCorrespondence[email protected]
&
Nizar TouziCMAP, Ecole Polytechnique Paris, Paris, France
Pages 2005-2046 | Received 02 Feb 2013, Accepted 30 Mar 2015, Published online: 16 Sep 2015

Citations (42)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Matt Emschwiller, Benjamin Petit & Jean-Philippe Bouchaud. (2021) Optimal multi-asset trading with linear costs: a mean-field approach. Quantitative Finance 21:2, pages 185-195.
Read now

Articles from other publishers (41)

Dai Min, Huang Heqing & Qian Shuaijie. (2023) Variational inequality problems in finance. SCIENTIA SINICA Mathematica 54:3, pages 355.
Crossref
Mohammad Safdari. (2023) Nonlocal equations with gradient constraints. Calculus of Variations and Partial Differential Equations 62:7.
Crossref
Johannes Muhle-Karbe, Xiaofei Shi & Chen Yang. (2023) An Equilibrium Model for the Cross Section of Liquidity Premia. Mathematics of Operations Research 48:3, pages 1423-1453.
Crossref
Tae Ung Gang & Jin Hyuk Choi. (2023) Optimal Investment in an Illiquid Market with Search Frictions and Transaction Costs. Applied Mathematics & Optimization 88:1.
Crossref
Xinfu Chen, Min Dai, Wei Jiang & Cong Qin. (2022) Asymptotic analysis of long‐term investment with two illiquid and correlated assets. Mathematical Finance 32:4, pages 1133-1169.
Crossref
Hidekazu Yoshioka, Motoh Tsujimura & Yuta Yaegashi. (2022) Analytical and numerical solutions to ergodic control problems arising in environmental management. Mathematical Methods in the Applied Sciences 45:13, pages 8329-8352.
Crossref
Bruno Bouchard & Johannes Muhle-Karbe. (2022) Simple bounds for utility maximization with small transaction costs. Stochastic Processes and their Applications 146, pages 98-113.
Crossref
Ibrahim Ekren & Sergey Nadtochiy. (2021) Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact. Mathematical Finance 32:1, pages 172-225.
Crossref
Mohammad Safdari. (2021) Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints. Journal of Differential Equations 279, pages 76-135.
Crossref
Mohammad Safdari. (2021) Double obstacle problems and fully nonlinear PDE with non-strictly convex gradient constraints. Journal of Differential Equations 278, pages 358-392.
Crossref
Erhan Bayraktar, Thomas Cayé & Ibrahim Ekren. (2020) Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case. Mathematical Finance 31:1, pages 36-108.
Crossref
Jin Hyuk Choi. (2019) Optimal consumption and investment with liquid and illiquid assets. Mathematical Finance 30:2, pages 621-663.
Crossref
Johannes Ruf & Kangjianan Xie. (2020) The Impact of Proportional Transaction Costs on Systematically Generated Portfolios. SIAM Journal on Financial Mathematics 11:3, pages 881-896.
Crossref
Ibrahim Ekren & Johannes Muhle‐Karbe. (2019) Portfolio choice with small temporary and transient price impact. Mathematical Finance 29:4, pages 1066-1115.
Crossref
Christian Beck, Weinan E & Arnulf Jentzen. (2019) Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations. Journal of Nonlinear Science 29:4, pages 1563-1619.
Crossref
David Hobson, Alex S. L. Tse & Yeqi Zhu. (2019) A multi-asset investment and consumption problem with transaction costs. Finance and Stochastics 23:3, pages 641-676.
Crossref
Paolo Guasoni, Ren Liu & Johannes Muhle‐Karbe. (2018) Who should sell stocks?. Mathematical Finance 29:2, pages 448-482.
Crossref
Yaroslav Melnyk & Frank Thomas Seifried. (2017) Small‐cost asymptotics for long‐term growth rates in incomplete markets. Mathematical Finance 28:2, pages 668-711.
Crossref
Martin Herdegen & Johannes Muhle-Karbe. (2018) Stability of Radner equilibria with respect to small frictions. Finance and Stochastics 22:2, pages 443-502.
Crossref
Ibrahim Ekren, Ren Liu & Johannes Muhle-Karbe. (2017) Optimal rebalancing frequencies for multidimensional portfolios. Mathematics and Financial Economics 12:2, pages 165-191.
Crossref
Maxim Bichuch & Paolo Guasoni. (2016) INVESTING WITH LIQUID AND ILLIQUID ASSETS. Mathematical Finance 28:1, pages 119-152.
Crossref
Johannes Muhle-KarbeMax ReppenH. Mete Soner. (2017) A Primer on Portfolio Choice with Small Transaction Costs. Annual Review of Financial Economics 9:1, pages 301-331.
Crossref
Jiatu Cai, Mathieu Rosenbaum & Peter Tankov. (2017) Asymptotic lower bounds for optimal tracking: A linear programming approach. The Annals of Applied Probability 27:4.
Crossref
Jan Kallsen & Johannes Muhle‐Karbe. (2015) THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS. Mathematical Finance 27:3, pages 659-703.
Crossref
Dylan Possamaï & Guillaume Royer. (2017) General indifference pricing with small transaction costs. Asymptotic Analysis 102:3-4, pages 177-226.
Crossref
Albert Altarovici, Max Reppen & H. Mete Soner. (2017) Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. SIAM Journal on Control and Optimization 55:3, pages 1673-1710.
Crossref
Ren Liu, Johannes Muhle-Karbe & Marko H. Weber. (2017) Rebalancing with Linear and Quadratic Costs. SIAM Journal on Control and Optimization 55:6, pages 3533-3563.
Crossref
Xinfu Chen, Min Dai, Wei Jiang & Cong Qin. (2021) Asymptotic Analysis of Long-Term Investment with Two Illiquid and Correlated Assets. SSRN Electronic Journal.
Crossref
Jin Hyuk Choi & Tae Ung Gang. (2021) Optimal Investment in Illiquid Market With Search Frictions and Transaction Costs. SSRN Electronic Journal.
Crossref
Erhan Bayraktar, Thomas Cayé & Ibrahim Ekren. (2018) Asymptotics for Small Nonlinear Price Impact: A PDE Homogenization Approach to the Multidimensional Case. SSRN Electronic Journal.
Crossref
Jin Hyuk Choi. (2017) Optimal Investment and Consumption with Liquid and Illiquid Assets. SSRN Electronic Journal.
Crossref
Yaroslav Melnyk & Johannes MuhleeKarbe. (2017) Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs. SSRN Electronic Journal.
Crossref
Ibrahim Ekren & Johannes Muhle-Karbe. (2018) Portfolio Choice with Small Temporary and Transient Price Impact. SSRN Electronic Journal.
Crossref
Martin Herdegen & Johannes Muhle-Karbe. (2017) Stability of Radner Equilibria with Respect to Small Frictions. SSRN Electronic Journal.
Crossref
Johannes Muhle-Karbe, Max Reppen & Halil Mete Soner. (2016) A Primer on Portfolio Choice with Small Transaction Costs. SSRN Electronic Journal.
Crossref
Ibrahim Ekren, Ren Liu & Johannes Muhle-Karbe. (2017) Optimal Rebalancing Frequencies for Multidimensional Portfolios. SSRN Electronic Journal.
Crossref
Maxim Bichuch & Paolo Guasoni. (2014) Investing with Liquid and Illiquid Assets. SSRN Electronic Journal.
Crossref
Bruno Bouchard, Ludovic Moreau & Halil Mete Soner. (2014) Hedging Under an Expected Loss Constraint with Small Transaction Costs. SSRN Electronic Journal.
Crossref
Paolo Guasoni, Ren Liu & Johannes Muhle-Karbe. (2014) Who Should Sell Stocks?. SSRN Electronic Journal.
Crossref
Ludovic Moreau, Johannes Muhle-Karbe & Halil Mete Soner. (2014) Trading with Small Price Impact. SSRN Electronic Journal.
Crossref
Liu Ren, Johannes Muhle-Karbe & Marko Weber. (2014) Rebalancing with Linear and Quadratic Costs. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.