Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
dc.contributor.author
Liu, Ren
dc.contributor.author
Muhle-Karbe, Johannes
dc.date.accessioned
2022-07-05T08:03:58Z
dc.date.available
2017-06-10T12:22:13Z
dc.date.available
2022-07-05T08:03:58Z
dc.date.issued
2012
dc.identifier.issn
1945-497X
dc.identifier.other
10.1137/120885036
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/61174
dc.description.abstract
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its welfare, and implied trading volume. As an application, we study the problem of selecting a prime broker among alternatives with different lending rates and margin requirements. Moreover, we discuss how changing regulatory constraints affect the deposit rates offered for illiquid loans.
en_US
dc.language.iso
en
en_US
dc.publisher
SIAM
en_US
dc.subject
Portfolio constraints
en_US
dc.subject
Transaction costs
en_US
dc.subject
Long-run
en_US
dc.subject
Portfolio choice
en_US
dc.title
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
en_US
dc.type
Journal Article
dc.date.published
2013-03-06
ethz.journal.title
SIAM Journal on Financial Mathematics
ethz.journal.volume
4
en_US
ethz.journal.issue
1
en_US
ethz.pages.start
203
en_US
ethz.pages.end
227
en_US
ethz.identifier.wos
ethz.publication.place
Philadelphia, PA
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich, direkt::00012 - Lehre und Forschung, direkt::00007 - Departemente, direkt::02000 - Departement Mathematik / Department of Mathematics::02003 - Professuren Reine Mathematik::03899 - Muhle-Karbe, Johannes (ehemalig)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich, direkt::00012 - Lehre und Forschung, direkt::00007 - Departemente, direkt::02000 - Departement Mathematik / Department of Mathematics::02003 - Professuren Reine Mathematik::03899 - Muhle-Karbe, Johannes (ehemalig)
ethz.date.deposited
2017-06-10T12:22:37Z
ethz.source
ECIT
ethz.identifier.importid
imp5936502fcf62b29706
ethz.ecitpid
pub:97563
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-14T17:23:20Z
ethz.rosetta.lastUpdated
2023-02-07T04:00:08Z
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true
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Journal Article [128813]