Optimal investment for retail investors

被引：2
|
作者：
Belak, Christoph [1 ]
Mich, Lukas [2 ]
Seifried, Frank T. [2 ]
机构：
[1] Tech Univ Berlin, Inst Math, Str 17 Juni 136, D-10623 Berlin, Germany
[2] Univ Trier, Dept Math 4, Trier, Germany
来源：
MATHEMATICAL FINANCE | 2022年 / 32卷 / 02期
关键词：
portfolio optimization; transaction costs; retail investor; STOCHASTIC PERRONS METHOD; OPTIMAL CONSUMPTION; IMPULSE CONTROL; PORTFOLIO OPTIMIZATION; SHADOW PRICES; TRANSACTION; VERIFICATION; SELECTION;
D O I：
10.1111/mafi.12336
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study optimal portfolio decisions for a retail investor that faces a strictly positive transaction cost in a classical Black-Scholes market. We provide a construction of optimal trading strategies and characterize the value function as the unique viscosity solution of the associated quasi-variational inequalities. Moreover, we numerically investigate the optimal trading regions for a variety of real-world cost structures faced by retail investors. We find that the cost structure has a strong effect on the qualitative shape of the no-trading region and optimal strategies.
引用
收藏
页码：555 / 594
页数：40
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