Asymptotics for Fixed Transaction Costs
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.
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- Anthony W. Lynch & Pierluigi Balduzzi, 2000.
"Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior,"
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