Portfolio Choice with Transaction Costs: A User’s Guide

DOI10.1007/978-3-319-00413-6_3zbMath1275.91122arXiv1207.7330OpenAlexW3122031304MaRDI QIDQ2847837

Johannes Muhle-Karbe, Paolo Guasoni

Publication date: 11 September 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.7330

zbMATH Keywords

transaction costspredictabilityportfolio choicecandidate shadow priceoption spreads

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (16)

Dynamic mean-variance problem with frictions ⋮ Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition ⋮ Long Time Asymptotics for Optimal Investment ⋮ Homotopy analysis method for portfolio optimization problem under the 3/2 model ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment ⋮ A multi-asset investment and consumption problem with transaction costs ⋮ The self-financing equation in limit order book markets ⋮ Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations ⋮ Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment ⋮ Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets

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