Portfolio optimisation with strictly positive transaction costs and impulse control

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

Social Sciences, Economics, Finance +16

Optimal consumption and portfolio policies when asset prices follow a diffusion process

John C. Cox, Chi-fu Huang · Journal of Economic Theory · 1989 · 1.7K citations

Business, Economics, Finance +17

Portfolio Selection with Transaction Costs

Mark H. Davis, A. R. Norman · Mathematics of Operations Research · 1990 · 1.4K citations · Full text

Social Sciences, Economics, Finance +14

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve · SIAM Journal on Control and Optimization · 1987 · 1.2K citations

Social Sciences, Economics, Finance +17

Optimal Investment and Consumption with Transaction Costs

Steven E. Shreve, H. Meté Soner · The Annals of Applied Probability · 1994 · 662 citations · Full text

Business, Economics, Finance +16