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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

Asymptotics and duality for the Davis and Norman problem

Stefan Gerhold Technische Universität Wien, Institut für Wirtschaftsmathematik, Wien, Austria
,
Johannes Muhle-Karbe ETH Zürich, Departement für Mathematik, Zürich, SwitzerlandCorrespondence[email protected]
&
Walter Schachermayer Universität Wien, Fakultät für Mathematik, Wien, Austria
Pages 625-641 | Received 04 Oct 2010, Accepted 26 Aug 2011, Published online: 02 Dec 2011

Citations (33)

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Gary Quek & Colin Atkinson. (2017) Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis. Applied Mathematical Finance 24:2, pages 77-111.
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Dylan Possamaï, H. Mete Soner & Nizar Touzi. (2015) Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case. Communications in Partial Differential Equations 40:11, pages 2005-2046.
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Jin Hyuk Choi. (2014) Asymptotic analysis for Merton's problem with transaction costs in power utility case. Stochastics 86:5, pages 803-816.
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Tae Ung Gang & Jin Hyuk Choi. (2023) Optimal Investment in an Illiquid Market with Search Frictions and Transaction Costs. Applied Mathematics & Optimization 88:1.
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Yaroslav Melnyk, Johannes Muhle‐Karbe & Frank Thomas Seifried. (2020) Lifetime investment and consumption with recursive preferences and small transaction costs. Mathematical Finance 30:3, pages 1135-1167.
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Jin Hyuk Choi. (2020) Optimal consumption and investment with liquid and illiquid assets. Mathematical Finance 30:2, pages 621-663.
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Christoph Belak & Jörn Sass. (2019) Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. Finance and Stochastics 23:4, pages 861-888.
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Yaroslav Melnyk & Frank Thomas Seifried. (2018) Small-cost asymptotics for long-term growth rates in incomplete markets. Mathematical Finance 28:2, pages 668-711.
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Huy N. Chau & Miklós Rásonyi. (2018) On optimal investment with processes of long or negative memory. Stochastic Processes and their Applications 128:4, pages 1095-1113.
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Maxim Bichuch & Paolo Guasoni. (2016) INVESTING WITH LIQUID AND ILLIQUID ASSETS. Mathematical Finance 28:1, pages 119-152.
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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.
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Dylan Possamaï & Guillaume Royer. (2017) General indifference pricing with small transaction costs. Asymptotic Analysis 102:3-4, pages 177-226.
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Christoph Czichowsky & Walter Schachermayer. (2016) Duality theory for portfolio optimisation under transaction costs. The Annals of Applied Probability 26:3.
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Bruno Bouchard, Ludovic Moreau & H. Mete Soner. (2016) Hedging Under an Expected Loss Constraint with Small Transaction Costs. SIAM Journal on Financial Mathematics 7:1, pages 508-551.
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Cong Liu & Harry Zheng. (2016) Asymptotic analysis for target asset portfolio allocation with small transaction costs. Insurance: Mathematics and Economics 66, pages 59-68.
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Mark-Roman Feodoria & Jan Kallsen. 2016. Advanced Modelling in Mathematical Finance. Advanced Modelling in Mathematical Finance 303 312 .
Tomasz Rogala & Lukasz Stettner. (2015) Construction of Discrete Time Shadow Price. Applied Mathematics & Optimization 72:3, pages 391-433.
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Attila Herczegh & Vilmos Prokaj. (2015) Shadow price in the power utility case. The Annals of Applied Probability 25:5.
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Paolo Guasoni & Johannes Muhle-Karbe. (2015) LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS. Mathematical Finance 25:4, pages 724-753.
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Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe & Walter Schachermayer. (2013) Transaction costs, trading volume, and the liquidity premium. Finance and Stochastics 18:1, pages 1-37.
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Dmitry B. Rokhlin. (2013) On the game interpretation of a shadow price process in utility maximization problems under transaction costs. Finance and Stochastics 17:4, pages 819-838.
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H. Mete Soner & Nizar Touzi. (2013) Homogenization and Asymptotics for Small Transaction Costs. SIAM Journal on Control and Optimization 51:4, pages 2893-2921.
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Maxim Bichuch & Steven Shreve. (2013) Utility Maximization Trading Two Futures with Transaction Costs. SIAM Journal on Financial Mathematics 4:1, pages 26-85.
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Jin Hyuk Choi & Tae Ung Gang. (2021) Optimal Investment in Illiquid Market With Search Frictions and Transaction Costs. SSRN Electronic Journal.
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Jin Hyuk Choi. (2017) Optimal Investment and Consumption with Liquid and Illiquid Assets. SSRN Electronic Journal.
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Yaroslav Melnyk & Johannes MuhleeKarbe. (2017) Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs. SSRN Electronic Journal.
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Johannes Muhle-Karbe, Max Reppen & Halil Mete Soner. (2016) A Primer on Portfolio Choice with Small Transaction Costs. SSRN Electronic Journal.
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Christoph Belak & Joern Sass. (2015) Finite-Horizon Optimal Investment with Transaction Costs: Construction of the Optimal Strategies. SSRN Electronic Journal.
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Maxim Bichuch & Paolo Guasoni. (2014) Investing with Liquid and Illiquid Assets. SSRN Electronic Journal.
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Yaroslav Melnyk & Frank Thomas Seifried. (2014) Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets. SSRN Electronic Journal.
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Bruno Bouchard, Ludovic Moreau & Halil Mete Soner. (2014) Hedging Under an Expected Loss Constraint with Small Transaction Costs. SSRN Electronic Journal.
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Xinfu Chen & Min Dai. (2013) Asymptotics for Merton Problem with Small Capital Gain Tax and Interest Rate. SSRN Electronic Journal.
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Halil Mete Soner & Nizar Touzi. (2012) Homogenization and Asymptotics for Small Transaction Costs. SSRN Electronic Journal.
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