{"id":"https://openalex.org/W2904334725","doi":"https://doi.org/10.1007/s00780-018-00380-1","title":"Utility maximisation in a factor model with constant and proportional transaction costs","display_name":"Utility maximisation in a factor model with constant and proportional transaction costs","publication_year":2018,"publication_date":"2018-12-19","ids":{"openalex":"https://openalex.org/W2904334725","doi":"https://doi.org/10.1007/s00780-018-00380-1","mag":"2904334725"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-018-00380-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-018-00380-1","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/A5113931611","display_name":"Christoph Belak","orcid":null},"institutions":[{"id":"https://openalex.org/I89864525","display_name":"Universit\u00e4t Trier","ror":"https://ror.org/02778hg05","country_code":"DE","type":"education","lineage":["https://openalex.org/I89864525"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Christoph Belak","raw_affiliation_strings":["Department IV, University of Trier, Universit\u00e4tsring 19, 54296, Trier, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department IV, University of Trier, Universit\u00e4tsring 19, 54296, Trier, Germany","institution_ids":["https://openalex.org/I89864525"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035361634","display_name":"S\u00f6ren Christensen","orcid":"https://orcid.org/0000-0002-8598-7507"},"institutions":[{"id":"https://openalex.org/I159176309","display_name":"Universit\u00e4t Hamburg","ror":"https://ror.org/00g30e956","country_code":"DE","type":"education","lineage":["https://openalex.org/I159176309"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"S\u00f6ren Christensen","raw_affiliation_strings":["Department of Mathematics, SPST, University of Hamburg, Bundesstrasse 55, 20146, Hamburg, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, SPST, University of Hamburg, Bundesstrasse 55, 20146, Hamburg, Germany","institution_ids":["https://openalex.org/I159176309"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5113931611"],"corresponding_institution_ids":["https://openalex.org/I89864525"],"apc_list":{"value":2890,"currency":"USD","value_usd":2890},"apc_paid":null,"fwci":1.9219,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.86946366,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"23","issue":"1","first_page":"29","last_page":"96"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"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":0.9987000226974487,"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":0.9970999956130981,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9916999936103821,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/constant","display_name":"Constant (computer programming)","score":0.7176905870437622},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.68111252784729},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.6421408653259277},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.6304689645767212},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5865975618362427},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.5826654434204102},{"id":"https://openalex.org/keywords/viscosity","display_name":"Viscosity","score":0.5288753509521484},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5178999900817871},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4992358684539795},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4858974814414978},{"id":"https://openalex.org/keywords/terminal-value","display_name":"Terminal value","score":0.4363466501235962},{"id":"https://openalex.org/keywords/variational-inequality","display_name":"Variational inequality","score":0.4288296699523926},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.42252117395401},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.41205504536628723},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3976857364177704},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3789462447166443},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.25048139691352844},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.182450532913208},{"id":"https://openalex.org/keywords/production","display_name":"Production (economics)","score":0.15096837282180786},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.1467667520046234},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.13587650656700134},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.13282793760299683},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.1167055070400238},{"id":"https://openalex.org/keywords/net-present-value","display_name":"Net present value","score":0.09942236542701721}],"concepts":[{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.7176905870437622},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.68111252784729},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.6421408653259277},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6304689645767212},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5865975618362427},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.5826654434204102},{"id":"https://openalex.org/C127172972","wikidata":"https://www.wikidata.org/wiki/Q128709","display_name":"Viscosity","level":2,"score":0.5288753509521484},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5178999900817871},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4992358684539795},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4858974814414978},{"id":"https://openalex.org/C47096860","wikidata":"https://www.wikidata.org/wiki/Q575542","display_name":"Terminal value","level":4,"score":0.4363466501235962},{"id":"https://openalex.org/C161999928","wikidata":"https://www.wikidata.org/wiki/Q4556320","display_name":"Variational inequality","level":2,"score":0.4288296699523926},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.42252117395401},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41205504536628723},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3976857364177704},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3789462447166443},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.25048139691352844},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.182450532913208},{"id":"https://openalex.org/C2778348673","wikidata":"https://www.wikidata.org/wiki/Q739302","display_name":"Production (economics)","level":2,"score":0.15096837282180786},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1467667520046234},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.13587650656700134},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.13282793760299683},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1167055070400238},{"id":"https://openalex.org/C181230689","wikidata":"https://www.wikidata.org/wiki/Q192472","display_name":"Net present value","level":3,"score":0.09942236542701721},{"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/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-018-00380-1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-018-00380-1","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:RePEc:spr:finsto:v:23:y:2019:i:1:d:10.1007_s00780-018-00380-1","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-018-00380-1","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":0.46000000834465027,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W380957011","https://openalex.org/W592962635","https://openalex.org/W604762380","https://openalex.org/W1937232319","https://openalex.org/W1969149481","https://openalex.org/W1977010568","https://openalex.org/W1980753586","https://openalex.org/W1981365697","https://openalex.org/W1996327401","https://openalex.org/W1997640190","https://openalex.org/W1998407679","https://openalex.org/W2007849171","https://openalex.org/W2012524049","https://openalex.org/W2032316144","https://openalex.org/W2115185486","https://openalex.org/W2148986687","https://openalex.org/W2153977482","https://openalex.org/W2287559351","https://openalex.org/W2537955117","https://openalex.org/W2592800088","https://openalex.org/W3106005633","https://openalex.org/W3122437676","https://openalex.org/W3125380953","https://openalex.org/W4211089673"],"related_works":["https://openalex.org/W2766367749","https://openalex.org/W4287078947","https://openalex.org/W1654696814","https://openalex.org/W4297940580","https://openalex.org/W2954291171","https://openalex.org/W4297409026","https://openalex.org/W2088353628","https://openalex.org/W2313187187","https://openalex.org/W2032834442","https://openalex.org/W3153900688"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}
