On an investment-consumption model with transaction costs: an asymptotic analysis

Applied Mathematical Finance

Volumn 4, Issue 2, 1997, Pages 109-133

  Atkinson, C ^a   Al Ali, B ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

investment consumption model; portfolio management; transaction costs

Indexed keywords

EID: 0010709415     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504869700000003     Document Type: Editorial

References (7)

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4. Davis, M., and Norman, A., 1990. Portfolio selection with transaction costs. Mathematics Operational Research, 15: 676–713.
5. Krylov, N. V., 1980. Controlled Diffusion Processes, New York: Springer-Verlag.
6. Merton, R. C., 1971. Optimum consumption and portfolio rules in a continuous time model. J. Econ. Th., 3: 373–413.
7. Nayfeh, A., 1973. Perturbation Methods, New York: John Wiley.