Asymptotics for Fixed Transaction Costs

Published 12 Jun 2013 in q-fin.PM and math.OC | (1306.2802v2)

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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