Portfolio Choice with Transaction Costs: a User's Guide
Portfolio Management
2012-08-01 v1 Optimization and Control
Abstract
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.
Cite
@article{arxiv.1207.7330,
title = {Portfolio Choice with Transaction Costs: a User's Guide},
author = {Paolo Guasoni and Johannes Muhle-Karbe},
journal= {arXiv preprint arXiv:1207.7330},
year = {2012}
}
Comments
25 pages