A portfolio optimization problem for an investor who trades T-bills and a mean-reverting stock in the presence of proportional and convex transaction costs is considered. The proportional transaction cost represents a bid-ask spread, while the convex transaction cost is used to model delays in...

We analyze a portfolio optimization problem for a long-term investor in the presence of stock market crises. A crisis includes a crash of the stock market price, a sharp increase of its volatility and dramatic deterioration of liquidity. We model the stock market illiquidity by means of convex...

Small transaction costs made frequent trading become a common practice among financial institutions and retail investors. Yet, the existing models of trading in the presence of transaction costs predict that trading should be infrequent. This study considers the effects of convex transaction...