Topics
transaction costOrganisation
risk aversionPerson
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
We price a contingent claim liability using the utility indifference argument. We consider an agent ...
International audienceWe study how trading costs are reflected in equilibrium returns. To this end, ...
While optimal investment under proportional transaction costs is quite well understood by now, less ...
An investor with constant relative risk aversion trades a safe and several risky assets with constan...
An investor with constant relative risk aversion trades a safe and several risky assets with constan...
An investor with constant absolute risk aversion trades a risky asset with general Itô-dynamics, in...
We investigate the general structure of optimal investment and consumption with small proportional t...
We study optimal portfolio management policies for an investor who must pay a transaction cost equal...
Two major financial market frictions are transaction costs and uncertain volatility, and we analyze ...
In a market with one safe and one risky asset, an investor with a long horizon, constant investment ...
In a market with one safe and one risky asset, an investor with a long horizon, constant investment ...
In this paper we examine the Akian, Menaldi and Sulem (1996) model for the optimal management of a p...
Back for very useful suggestions. Any remaining errors are of course mine. We consider the optimal i...
<p>An agent invests in two types of futures contracts, whose prices are possibly correlated arithmet...
none2siWe find asymptotically optimal trading policies for long-term investors with constant relativ...
We price a contingent claim liability using the utility indifference argument. We consider an agent ...
International audienceWe study how trading costs are reflected in equilibrium returns. To this end, ...
While optimal investment under proportional transaction costs is quite well understood by now, less ...
An investor with constant relative risk aversion trades a safe and several risky assets with constan...
An investor with constant relative risk aversion trades a safe and several risky assets with constan...
An investor with constant absolute risk aversion trades a risky asset with general Itô-dynamics, in...
We investigate the general structure of optimal investment and consumption with small proportional t...
We study optimal portfolio management policies for an investor who must pay a transaction cost equal...
Two major financial market frictions are transaction costs and uncertain volatility, and we analyze ...
In a market with one safe and one risky asset, an investor with a long horizon, constant investment ...
In a market with one safe and one risky asset, an investor with a long horizon, constant investment ...
In this paper we examine the Akian, Menaldi and Sulem (1996) model for the optimal management of a p...
Back for very useful suggestions. Any remaining errors are of course mine. We consider the optimal i...
<p>An agent invests in two types of futures contracts, whose prices are possibly correlated arithmet...
none2siWe find asymptotically optimal trading policies for long-term investors with constant relativ...
We price a contingent claim liability using the utility indifference argument. We consider an agent ...
International audienceWe study how trading costs are reflected in equilibrium returns. To this end, ...
While optimal investment under proportional transaction costs is quite well understood by now, less ...
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