Max Reppen: Investment and consumption with small transaction costs
Tid: To 2013-12-19 kl 13.15 - 14.00
Plats: Room 3733, Lindstedtsvägen 25, 7th floor, Department of mathematics, KTH
Respondent: Max Reppen
Handledare: Mete Soner, ETH
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.