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- W2950672053 abstract "We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of the fractional power series expansions of the value function and the no-trading region." @default.
- W2950672053 created "2019-06-27" @default.
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- W2950672053 date "2013-09-15" @default.
- W2950672053 modified "2023-09-27" @default.
- W2950672053 title "Asymptotic analysis for Merton's problem with transaction costs in power utility case" @default.
- W2950672053 hasPublicationYear "2013" @default.
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