Asymptotics for Fixed Transaction Costs
Copyright policy )Asymptotics for Fixed Transaction Costs
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.
39 pages, 3 figures. Added: proof of Weak Dynamic Programming
- ETH Zurich Switzerland
- ETH-Zurich Switzerland
- Imperial College London United Kingdom
- RERO - Library Network of Western Switzerland Switzerland
- École Polytechnique Fédérale de Lausanne EPFL Switzerland
viscosity solutions, optimal investment and consumption, homogenization, Applications of stochastic analysis (to PDEs, etc.), asymptotic expansions, FOS: Economics and business, fixed transaction costs, Portfolio theory, Portfolio Management (q-fin.PM), PDEs in connection with game theory, economics, social and behavioral sciences, Optimization and Control (math.OC), 91G10, 91G80, 91B28, 35K55, 60H30, FOS: Mathematics, Nonlinear parabolic equations, PDEs with randomness, stochastic partial differential equations, Mathematics - Optimization and Control, Financial applications of other theories, Quantitative Finance - Portfolio Management
viscosity solutions, optimal investment and consumption, homogenization, Applications of stochastic analysis (to PDEs, etc.), asymptotic expansions, FOS: Economics and business, fixed transaction costs, Portfolio theory, Portfolio Management (q-fin.PM), PDEs in connection with game theory, economics, social and behavioral sciences, Optimization and Control (math.OC), 91G10, 91G80, 91B28, 35K55, 60H30, FOS: Mathematics, Nonlinear parabolic equations, PDEs with randomness, stochastic partial differential equations, Mathematics - Optimization and Control, Financial applications of other theories, Quantitative Finance - Portfolio Management
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