Rebalancing with Linear and Quadratic Costs

Ren Liu, Johannes Muhle-Karbe and Marko H. Weber

Papers from arXiv.org

Abstract: We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk aversion and a long horizon.

Date: 2014-02, Revised 2017-09
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Citations: View citations in EconPapers (6)

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