Asymptotics with fixed transaction costs
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Author / Producer
Date
2015-04
Publication Type
Journal Article
ETH Bibliography
yes
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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.
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Publication status
published
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Editor
Book title
Journal / series
Volume
19 (2)
Pages / Article No.
363 - 414
Publisher
Springer
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Fixed transaction costs; Optimal investment and consumption; Homogenization; Viscosity solutions; Asymptotic expansions
Organisational unit
03899 - Muhle-Karbe, Johannes (ehemalig)
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
Notes
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.