Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
dc.contributor.author
Altarovici, Albert
dc.contributor.author
Reppen, Max
dc.contributor.author
Soner, Mete
dc.date.accessioned
2018-01-12T13:06:27Z
dc.date.available
2018-01-10T10:12:46Z
dc.date.available
2018-01-12T13:06:27Z
dc.date.issued
2017
dc.identifier.issn
0363-0129
dc.identifier.issn
1095-7138
dc.identifier.other
10.1137/15m1053633
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/227039
dc.language.iso
en
en_US
dc.publisher
SIAM
en_US
dc.subject
Merton problem
en_US
dc.subject
Transaction costs
en_US
dc.subject
Viscosity solutions
en_US
dc.subject
Dynamic programming
en_US
dc.subject
Fixed costs
en_US
dc.title
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
en_US
dc.type
Journal Article
dc.date.published
2017-05-25
ethz.book.title
SIAM J. Control and Optimization
en_US
ethz.journal.title
SIAM Journal on Control and Optimization
ethz.journal.volume
55
en_US
ethz.journal.issue
3
en_US
ethz.journal.abbreviated
SIAM J. Control Optim.
ethz.pages.start
1673
en_US
ethz.pages.end
1710
en_US
ethz.publication.place
Philadelphia, PA
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
en_US
ethz.relation.isVariantFormOf
handle/20.500.11850/123926
ethz.date.deposited
2018-01-10T10:12:46Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2018-01-12T13:06:30Z
ethz.rosetta.lastUpdated
2024-02-02T03:40:38Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Optimal%20Consumption%20and%20Investment%20with%20Fixed%20and%20Proportional%20Transaction%20Costs&rft.jtitle=SIAM%20Journal%20on%20Control%20and%20Optimization&rft.date=2017&rft.volume=55&rft.issue=3&rft.spage=1673&rft.epage=1710&rft.issn=0363-0129&1095-7138&rft.au=Altarovici,%20Albert&Reppen,%20Max&Soner,%20Mete&rft.genre=article&rft_id=info:doi/10.1137/15m1053633&rft.btitle=SIAM%20J.%20Control%20and%20Optimization
Files in this item
| Files | Size | Format | Open in viewer |
|---|---|---|---|
|
There are no files associated with this item. |
|||
Publication type
-
Journal Article [128929]