摘要翻译：
我们考虑了具有小比例交易费用的终身消费的经典Merton问题-投资组合优化问题。通过一个奇异遍历控制问题显式地计算了渐近展开式中的一阶项，在一维情况下可以以封闭形式求解。与现有文献不同，我们考虑了基础资产的一般效用函数和一般动力学。我们的论点是基于均匀化理论的思想，并使用粘性解理论的收敛工具。在我们的论文中用同样的方法研究了多维情况。
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英文标题：
《Homogenization and asymptotics for small transaction costs》
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作者：
H. Mete Soner and Nizar Touzi
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最新提交年份：
2013
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic control problem which can be solved in closed form in the one-dimensional case. Unlike the existing literature, we consider a general utility function and general dynamics for the underlying assets. Our arguments are based on ideas from the homogenization theory and use the convergence tools from the theory of viscosity solutions. The multidimensional case is studied in our accompanying paper using the same approach.
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PDF链接：
https://arxiv.org/pdf/1202.6131