Atkinson, C.; Al-Ali, B. - In: Applied Mathematical Finance 4 (1997) 2, pp. 109-133
In this paper we examine the Akian, Menaldi and Sulem (1996) model for the optimal management of a portfolio, when there are transaction costs which are equal to a fixed percentage of the amount transacted. We analyse this model in the realistic limit of small transaction costs. Although the...