Asymptotics for fixed transaction costs
Author(s): Altarovici, A; Muhle-Karbe, J; Soner, H Mete
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http://arks.princeton.edu/ark:/88435/pr1m280| Abstract: | © 2015, Springer-Verlag Berlin Heidelberg. 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. |
| Publication Date: | 1-Jan-2015 |
| Citation: | Altarovici, A, Muhle-Karbe, J, Soner, HM. (2015). Asymptotics for fixed transaction costs. Finance and Stochastics, 19 (2), 363 - 414. doi:10.1007/s00780-015-0261-3 |
| DOI: | doi:10.1007/s00780-015-0261-3 |
| ISSN: | 0949-2984 |
| Pages: | 363 - 414 |
| Type of Material: | Journal Article |
| Journal/Proceeding Title: | Finance and Stochastics |
| Version: | Author's manuscript |
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