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- W4290186258 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.
- W4290186258 created "2022-08-07" @default.
- W4290186258 creator A5074980266 @default.
- W4290186258 date "2013-09-14" @default.
- W4290186258 modified "2023-09-23" @default.
- W4290186258 title "Asymptotic analysis for Merton's problem with transaction costs in power utility case" @default.
- W4290186258 doi "https://doi.org/10.48550/arxiv.1309.3721" @default.
- W4290186258 hasPublicationYear "2013" @default.
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