Asymptotics for Fixed Transaction Costs
AbstractAn 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1306.2802.
Date of creation: Jun 2013
Date of revision: Oct 2013
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
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