Asymptotics for fixed transaction costs

Albert Altarovici (), Johannes Muhle-Karbe () and Halil Soner ()

Finance and Stochastics, 2015, vol. 19, issue 2, 363-414

Abstract: 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. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Fixed transaction costs; Optimal investment and consumption; Homogenization; Viscosity solutions; Asymptotic expansions; 91G10; 91G80; 35K55; 60H30; G11 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (20)

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DOI: 10.1007/s00780-015-0261-3

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