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Asymptotics for fixed transaction costs

Altarovici, Albert ; Muhle-Karbe, Johannes ; Soner, Halil

In: Finance and Stochastics, 2015, vol. 19, no. 2, p. 363-414

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    Titre
    • Asymptotics for fixed transaction costs
    Auteur
    • Altarovici, Albert. Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092, Zürich, Switzerland
    • Muhle-Karbe, Johannes. Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092, Zürich, Switzerland
    • Soner, Halil. Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092, Zürich, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Finance and Stochastics, 2015, vol. 19, no. 2, p. 363-414. Springer Berlin Heidelberg
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:332693
    Summary
    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.