Portfolio Choice with Transaction Costs: A User’s Guide

DOI10.1007/978-3-319-00413-6_3zbMath1275.91122arXiv1207.7330OpenAlexW3122031304MaRDI QIDQ2847837

Johannes Muhle-Karbe, Paolo Guasoni

Publication date: 11 September 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.7330

zbMATH Keywords

transaction costspredictabilityportfolio choicecandidate shadow priceoption spreads

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Dynamic mean-variance problem with frictions, Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition, Long Time Asymptotics for Optimal Investment, Homotopy analysis method for portfolio optimization problem under the 3/2 model, On the game interpretation of a shadow price process in utility maximization problems under transaction costs, Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment, Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon, Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations, The Impact of Proportional Transaction Costs on Systematically Generated Portfolios, INVESTING WITH LIQUID AND ILLIQUID ASSETS, Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment, A multi-asset investment and consumption problem with transaction costs, The self-financing equation in limit order book markets, Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations, Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment, Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Transaction costs, trading volume, and the liquidity premium
• On using shadow prices in portfolio optimization with transaction costs
• Super contact and related optimality conditions
• Portfolio selection with transactions costs
• Optimal investment and consumption with transaction costs
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
• Asymptotic analysis of optimal investment and consumption with transaction costs.
• Martingales and arbitage in securities markets with transaction costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• The dual optimizer for the growth-optimal portfolio under transaction costs
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
• Consistent price systems and face-lifting pricing under transaction costs
• Portfolios and risk premia for the long run
• Homogenization and Asymptotics for Small Transaction Costs
• Utility Maximization Trading Two Futures with Transaction Costs
• Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Multi‐asset portfolio optimization with transaction cost
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
• Randomization and the American Put
• Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs
• Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Stochastic Equations for Diffusion Processes in a Bounded Region. II
• Portfolio Selection with Transaction Costs