A Primer on Portfolio Choice with Small Transaction Costs

IF 5 3区 经济学 Q1 BUSINESS, FINANCE
Johannes Muhle-Karbe, Max Reppen, H. Mete Soner
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Abstract

This review is an introduction to asymptotic methods for portfolio choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and how to simplify them in the small-cost limit. This allows one to obtain explicit solutions in a wide range of settings, which we illustrate for a model with mean-reverting expected returns and proportional transaction costs. For more complex models, we present a policy iteration scheme that allows one to numerically compute the solution.
交易成本小的投资组合选择入门
本文介绍了小交易成本投资组合选择问题的渐近方法。我们概述了如何推导相应的动态规划方程,以及如何在小代价极限下对其进行化简。这允许人们在广泛的设置中获得显式解决方案,我们举例说明了具有均值回归预期收益和比例交易成本的模型。对于更复杂的模型,我们提出了一种策略迭代方案,允许数值计算解决方案。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
5.00
自引率
0.00%
发文量
26
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