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Portfolio Choice with Transaction Costs: a User's Guide

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  • Paolo Guasoni
  • Johannes Muhle-Karbe

Abstract

Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.

Suggested Citation

  • Paolo Guasoni & Johannes Muhle-Karbe, 2012. "Portfolio Choice with Transaction Costs: a User's Guide," Papers 1207.7330, arXiv.org.
    • Handle: RePEc:arx:papers:1207.7330
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    References listed on IDEAS

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    Cited by:

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    2. David Hobson & Alex S. L. Tse & Yeqi Zhu, 2016. "A multi-asset investment and consumption problem with transaction costs," Papers 1612.01327, arXiv.org.

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