Asymptotics for fixed transaction costs

被引：27
|
作者：
Altarovici, Albert [1 ]
Muhle-Karbe, Johannes [1 ]
Soner, Halil Mete [1 ]
机构：
[1] ETH, Dept Math, CH-8092 Zurich, Switzerland
来源：
FINANCE AND STOCHASTICS | 2015年 / 19卷 / 02期
基金：
瑞士国家科学基金会; 欧洲研究理事会;
关键词：
Fixed transaction costs; Optimal investment and consumption; Homogenization; Viscosity solutions; Asymptotic expansions; OPTIMAL INVESTMENT; PORTFOLIO SELECTION; OPTIMAL CONSUMPTION; VISCOSITY SOLUTIONS; PREDICTABILITY; DISCRETIZATION; TIME;
D O I：
10.1007/s00780-015-0261-3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：363 / 414
页数：52
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