Asymptotics for fixed transaction costs

Author(s): Altarovici, A; Muhle-Karbe, J; Soner, H Mete

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DC Field	Value	Language
dc.contributor.author	Altarovici, A	-
dc.contributor.author	Muhle-Karbe, J	-
dc.contributor.author	Soner, H Mete	-
dc.date.accessioned	2021-10-11T14:18:06Z	-
dc.date.available	2021-10-11T14:18:06Z	-
dc.date.issued	2015-01-01	en_US
dc.identifier.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	en_US
dc.identifier.issn	0949-2984	-
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/pr1m280	-
dc.description.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.	en_US
dc.format.extent	363 - 414	en_US
dc.language.iso	en_US	en_US
dc.relation.ispartof	Finance and Stochastics	en_US
dc.rights	Author's manuscript	en_US
dc.title	Asymptotics for fixed transaction costs	en_US
dc.type	Journal Article	en_US
dc.identifier.doi	doi:10.1007/s00780-015-0261-3	-
pu.type.symplectic	http://www.symplectic.co.uk/publications/atom-terms/1.0/journal-article	en_US

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