Change search
ReferencesLink to record
Permanent link

Direct link
Investment and consumption with small transaction costs
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematics (Div.).
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis consists of two parts, both of which study the infinite horizon Merton problem under asymptotically small transaction costs. In the first part the asymptotical no trade regions are found numerically for proportional transaction costs, whereas the second is an initial attempt to employ homogenization theory previously used for fixed and proportional costs separately to the case of both costs simultaneously.

Place, publisher, year, edition, pages
TRITA-MAT-E, 2013:60
National Category
URN: urn:nbn:se:kth:diva-139320OAI: diva2:687488
Subject / course
Educational program
Master of Science - Mathematics
Available from: 2014-01-14 Created: 2014-01-09 Last updated: 2014-01-18Bibliographically approved

Open Access in DiVA

fulltext(638 kB)177 downloads
File information
File name FULLTEXT02.pdfFile size 638 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Mathematics (Div.)

Search outside of DiVA

GoogleGoogle Scholar
Total: 178 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 102 hits
ReferencesLink to record
Permanent link

Direct link