On portfolio optimization under small fixed transaction costs

Jan Kallsen (Christian-Albrechts-Universität zu Kiel)
Thursday, November 17, 2016 - 5:15pm
HU Berlin, Rudower Chaussee 25, Room 1.115

While optimal investment under proportional transaction costs is quite well understood by now, less has been done in the presence of fixed fees for any single transaction. In this talk we consider the asymptotics of the no-trade region for small fixed costs. More specifically, we sketch the rigorous verification for a general univariate Ito process market under exponential utility. (The talk is based on joint work with Mark Feodoria.)