Name
Abstract | ||
|---|---|---|
We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk aversion and a long horizon. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.2139/ssrn.2402241 | SIAM J. Control and Optimization |
Keywords | Field | DocType |
transaction costs | Econometrics,Transaction cost,Mathematical optimization,Horizon,Quadratic equation,Risk aversion,Mathematics | Journal |
Volume | Issue | Citations |
55 | 6 | 0 |
PageRank | References | Authors |
0.34 | 7 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ren Liu | 1 | 28 | 6.14 |
| Johannes Muhle-Karbe | 2 | 33 | 7.62 |
| marko weber | 3 | 2 | 0.79 |