Asymptotics for Fixed Transaction Costs

Albert Altarovici, Johannes Muhle-Karbe and Halil Mete Soner
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Albert Altarovici: ETH Zurich
Johannes Muhle-Karbe: Imperial College London - Department of Mathematics
Halil Mete Soner: ETH Zürich; Swiss Finance Institute

No 13-35, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: fixed transaction costs; optimal investment and consumption; homogenization; viscosity solutions; asymptotic expansions (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2013-06
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1335

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