Download This PaperAsymptotics for Fixed Transaction Costs
37 Pages Posted: 19 Jun 2013
Date Written: June 12, 2013
Abstract
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.
Keywords: fixed transaction costs, optimal investment and consumption, homogenization, viscosity solutions, asymptotic expansions
JEL Classification: G11
Suggested Citation: Suggested Citation
Altarovici, Albert and Muhle-Karbe, Johannes and Soner, Halil Mete, Asymptotics for Fixed Transaction Costs (June 12, 2013). Swiss Finance Institute Research Paper No. 13-35, Available at SSRN: https://ssrn.com/abstract=2280469 or http://dx.doi.org/10.2139/ssrn.2280469
Swiss Finance Institute
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
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