3 citations · 6 across the 16 of their papers we have counts for
Showing q-fin.PMShow all
2 papers · 1 filter
q-fin.PM2017
A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs
Arash Fahim, Wan-Yu Tsai
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We…
q-fin.PM2013★ 1 cited
Balancing small fixed and proportional transaction cost in trading strategies
Jose V. Alcala, Arash Fahim
Transaction costs appear in financial markets in more than one form. There are several results in the literature on small proportional transaction cost and not that many on fixed t…