LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS

DOI10.1111/mafi.12046zbMath1418.91472arXiv1110.1214OpenAlexW3124762310MaRDI QIDQ3195492

Paolo Guasoni, Johannes Muhle-Karbe

Publication date: 20 October 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.1214

zbMATH Keywords

transaction costsexponential utilitytrading volumelong-run portfolio choice

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (11)

Duality theory for portfolio optimisation under transaction costs ⋮ OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ Asymptotic analysis of long‐term investment with two illiquid and correlated assets ⋮ Trading with small nonlinear price impact ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs ⋮ Portfolio Choice with Transaction Costs: A User’s Guide ⋮ Asymptotics for fixed transaction costs

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