Asymptotics for fixed transaction costs

<Para ID="Par1">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. Copyright Springer-Verlag Berlin Heidelberg 2015

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Year of publication:	2015
Authors:	Altarovici, Albert ; Muhle-Karbe, Johannes ; Soner, Halil
Published in:	Finance and Stochastics. - Springer. - Vol. 19.2015, 2, p. 363-414
Publisher:	Springer
Subject:	Fixed transaction costs \| Optimal investment and consumption \| Homogenization \| Viscosity solutions \| Asymptotic expansions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011241197