This review is an introduction to asymptotic methods for portfolio choice problems with small
transaction costs. We outline how to derive the corresponding dynamic programming …

In a market with one safe and one risky asset, an investor with a long horizon, constant
investment opportunities and constant relative risk aversion trades with small proportional …

We investigate the general structure of optimal investment and consumption with small
proportional transaction costs. For a safe asset and a risky asset with general continuous …

In a market with stochastic investment opportunities, we study an optimal consumption–
investment problem for an agent with recursive utility of Epstein–Zin type. Focusing on the …

Over the last two decades, risk-sensitive control has evolved into an innovative and
successful framework for solving dynamically a wide range of practical investment …

A drawdown constraint forces the current wealth to remain above a given function of its
maximum to date. We consider the portfolio optimisation problem of maximising the long …

We derive the process followed by trading volume, in a market with finite depth and constant
investment opportunities, where a large investor, with a long horizon and constant relative …

This paper is concerned with the axiomatic foundation and explicit construction of a general
class of optimality criteria that can be used for investment problems with multiple time …

In a market with price impact proportional to a power of the order flow, we find optimal
trading policies and their implied performance for long‐term investors who have constant …

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