{"id":"https://openalex.org/W1976551585","doi":"https://doi.org/10.1007/s00780-003-0113-4","title":"Asymptotic analysis for optimal investment and consumption with transaction costs","display_name":"Asymptotic analysis for optimal investment and consumption with transaction costs","publication_year":2004,"publication_date":"2004-03-15","ids":{"openalex":"https://openalex.org/W1976551585","doi":"https://doi.org/10.1007/s00780-003-0113-4","mag":"1976551585"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-003-0113-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-003-0113-4","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087688271","display_name":"Karel Jane\u010dek","orcid":null},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Karel Janecek","raw_affiliation_strings":["Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, PA 15213, Pittsburgh, USA","Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, Pittsburgh, USA"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, PA 15213, Pittsburgh, USA","institution_ids":["https://openalex.org/I74973139"]},{"raw_affiliation_string":"Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, Pittsburgh, USA","institution_ids":["https://openalex.org/I74973139"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5062700558","display_name":"Steven E. Shreve","orcid":"https://orcid.org/0000-0001-8747-6930"},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Steven E. Shreve","raw_affiliation_strings":["Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, PA 15213, Pittsburgh, USA","Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, Pittsburgh, USA"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, PA 15213, Pittsburgh, USA","institution_ids":["https://openalex.org/I74973139"]},{"raw_affiliation_string":"Department of Mathematical Sciences and Center for Computational Finance, Carnegie Mellon University, Pittsburgh, USA","institution_ids":["https://openalex.org/I74973139"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5087688271"],"corresponding_institution_ids":["https://openalex.org/I74973139"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":4.2137,"has_fulltext":false,"cited_by_count":171,"citation_normalized_percentile":{"value":0.94140934,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"8","issue":"2","first_page":"181","last_page":"206"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9722999930381775,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.6651102304458618},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6162019371986389},{"id":"https://openalex.org/keywords/asymptotic-expansion","display_name":"Asymptotic expansion","score":0.6154813170433044},{"id":"https://openalex.org/keywords/consumption","display_name":"Consumption (sociology)","score":0.5759038925170898},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.5443993210792542},{"id":"https://openalex.org/keywords/lambda","display_name":"Lambda","score":0.5339326858520508},{"id":"https://openalex.org/keywords/asymptotic-analysis","display_name":"Asymptotic analysis","score":0.5252894163131714},{"id":"https://openalex.org/keywords/heuristic","display_name":"Heuristic","score":0.5198538899421692},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.5071132183074951},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5063794851303101},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.48988670110702515},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.48960262537002563},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4403280019760132},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.43923309445381165},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3837452828884125},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3756718039512634},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.25053173303604126},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.19501721858978271},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.10903733968734741},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.0861646831035614},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.07350912690162659}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6651102304458618},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6162019371986389},{"id":"https://openalex.org/C11683690","wikidata":"https://www.wikidata.org/wiki/Q752726","display_name":"Asymptotic expansion","level":2,"score":0.6154813170433044},{"id":"https://openalex.org/C30772137","wikidata":"https://www.wikidata.org/wiki/Q5164762","display_name":"Consumption (sociology)","level":2,"score":0.5759038925170898},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.5443993210792542},{"id":"https://openalex.org/C2778113609","wikidata":"https://www.wikidata.org/wiki/Q10897","display_name":"Lambda","level":2,"score":0.5339326858520508},{"id":"https://openalex.org/C205147927","wikidata":"https://www.wikidata.org/wiki/Q752718","display_name":"Asymptotic analysis","level":2,"score":0.5252894163131714},{"id":"https://openalex.org/C173801870","wikidata":"https://www.wikidata.org/wiki/Q201413","display_name":"Heuristic","level":2,"score":0.5198538899421692},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.5071132183074951},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5063794851303101},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.48988670110702515},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.48960262537002563},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4403280019760132},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.43923309445381165},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3837452828884125},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3756718039512634},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.25053173303604126},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19501721858978271},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10903733968734741},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0861646831035614},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.07350912690162659},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C120665830","wikidata":"https://www.wikidata.org/wiki/Q14620","display_name":"Optics","level":1,"score":0.0},{"id":"https://openalex.org/C36289849","wikidata":"https://www.wikidata.org/wiki/Q34749","display_name":"Social science","level":1,"score":0.0},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s00780-003-0113-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-003-0113-4","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.136.1802","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.136.1802","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.cmu.edu/~ccf/docs/seminar_3s/karel.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-003-0113-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4099999964237213,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":50,"referenced_works":["https://openalex.org/W69750804","https://openalex.org/W106784239","https://openalex.org/W1580561995","https://openalex.org/W1969363235","https://openalex.org/W1976352744","https://openalex.org/W1983491159","https://openalex.org/W1988487366","https://openalex.org/W1992466143","https://openalex.org/W1992925703","https://openalex.org/W1994336709","https://openalex.org/W2005158847","https://openalex.org/W2005234698","https://openalex.org/W2007688427","https://openalex.org/W2012524049","https://openalex.org/W2021355027","https://openalex.org/W2029759782","https://openalex.org/W2040394324","https://openalex.org/W2041823389","https://openalex.org/W2042142447","https://openalex.org/W2044141035","https://openalex.org/W2060302284","https://openalex.org/W2068433492","https://openalex.org/W2070201264","https://openalex.org/W2074524292","https://openalex.org/W2078160823","https://openalex.org/W2078351801","https://openalex.org/W2078360192","https://openalex.org/W2080910730","https://openalex.org/W2082211732","https://openalex.org/W2090584413","https://openalex.org/W2091788403","https://openalex.org/W2098124071","https://openalex.org/W2099438388","https://openalex.org/W2101137376","https://openalex.org/W2114589695","https://openalex.org/W2114971059","https://openalex.org/W2115351953","https://openalex.org/W2115580984","https://openalex.org/W2126096180","https://openalex.org/W2136364195","https://openalex.org/W2154827000","https://openalex.org/W2157445050","https://openalex.org/W2175456627","https://openalex.org/W2268660155","https://openalex.org/W2271468679","https://openalex.org/W2506941141","https://openalex.org/W3122042062","https://openalex.org/W3125239210","https://openalex.org/W4232064139","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W3121773157","https://openalex.org/W1985820779","https://openalex.org/W3121867036","https://openalex.org/W2215521480","https://openalex.org/W1972896192","https://openalex.org/W2094631638","https://openalex.org/W2888270039","https://openalex.org/W2131027811","https://openalex.org/W3144491958","https://openalex.org/W2019314278"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":17},{"year":2016,"cited_by_count":10},{"year":2015,"cited_by_count":18},{"year":2014,"cited_by_count":24},{"year":2013,"cited_by_count":17},{"year":2012,"cited_by_count":14}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}
