2000 character limit reached
Rebalancing with Linear and Quadratic Costs
Published 21 Feb 2014 in q-fin.PM, math.OC, math.PR, and q-fin.TR | (1402.5306v3)
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.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.