Utility maximization trading two futures with transaction costs

SIAM Journal on Financial Mathematics

Volumn 4, Issue 1, 2013, Pages 26-85

  Bichuch, Maxim ^a   Shreve, Steven ^b  

^a Princeton University   (United States)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Asymptotic analysis; Optimal control; Transaction costs; Utility maximization

Indexed keywords

EID: 84888861554     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/110853649     Document Type: Article

References (24)

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