Transaction costs, trading volume, and the liquidity premium

DOI10.1007/s00780-013-0210-yzbMath1305.91218arXiv1108.1167OpenAlexW3125712704MaRDI QIDQ471168

Walter Schachermayer, Paolo Guasoni, Johannes Muhle-Karbe, Stefan Gerhold

Publication date: 14 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.1167

zbMATH Keywords

transaction costsconstant relative risk aversiontrading volumeconstant investment opportunitiesliquidity premiumlong horizonoptimal investment policyshadow risky asset

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (38)

Dynamic mean-variance problem with frictions ⋮ IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Rebalancing multiple assets with mutual price impact ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Equilibrium returns with transaction costs ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ On the existence of shadow prices ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ Simple bounds for utility maximization with small transaction costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Leveraged funds: robust replication and performance evaluation ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ Penalty method for portfolio selection with capital gains tax ⋮ Rebalancing with Linear and Quadratic Costs ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Asymptotic analysis for target asset portfolio allocation with small transaction costs ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ On optimal investment with processes of long or negative memory ⋮ The limits of leverage ⋮ Strict local martingales and optimal investment in a Black–Scholes model with a bubble ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ Hedge and mutual funds' fees and the separation of private investments ⋮ Lévy Processes with Two-Sided Reflection ⋮ Managing inventory with proportional transaction costs ⋮ Shadow price in the power utility case ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs ⋮ Portfolio Choice with Transaction Costs: A User’s Guide ⋮ Asymptotics for fixed transaction costs ⋮ Large deviations for the boundary local time of doubly reflected Brownian motion ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

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