Asymptotics for fixed transaction costs
Altarovici, Albert ; Muhle-Karbe, Johannes ; Soner, Halil
In: Finance and Stochastics, 2015, vol. 19, no. 2, p. 363-414
Ajouter à la liste personnelle- 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.