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- W3125821732 abstract "We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic control problem which can be solved in closed form in the one-dimensional case. Unlike the existing literature, we consider a general utility function and general dynamics for the underlying assets. Our arguments are based on ideas from the homogenization theory and use the convergence tools from the theory of viscosity solutions. The multidimensional case is studied in our accompanying paper using the same approach." @default.
- W3125821732 created "2021-02-01" @default.
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- W3125821732 date "2013-06-01" @default.
- W3125821732 modified "2023-10-02" @default.
- W3125821732 title "Homogenization and asymptotics for small transaction costs" @default.
- W3125821732 hasPublicationYear "2013" @default.
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