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q-fin.PM2016★ 1 cited
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
Albert Altarovici, Max Reppen, H. Mete Soner
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general…
q-fin.PM2013
Asymptotics for Fixed Transaction Costs
Albert Altarovici, Johannes Muhle-Karbe, H. Mete Soner
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each t…