Asymptotics for Fixed Transaction Costs
Portfolio Management
2013-10-23 v2 Optimization and Control
Abstract
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy.
Keywords
Cite
@article{arxiv.1306.2802,
title = {Asymptotics for Fixed Transaction Costs},
author = {Albert Altarovici and Johannes Muhle-Karbe and H. Mete Soner},
journal= {arXiv preprint arXiv:1306.2802},
year = {2013}
}
Comments
39 pages, 3 figures. Added: proof of Weak Dynamic Programming