Codice  QDD 138 
Titolo  Optimal impulse control of a portfolio with a fixed transaction cost 
Data  20121112 
Autore/i  Baccarin, S; Marazzina, D. 
Link  Download full text 
Abstract  The aim of this work is to investigate a portfolio optimization problem in presence of fixed transaction costs. We consider an economy with two assets, one risky and one riskfree, and an agent fully described by its power utility function. We show how fixed transaction costs influence the agent s behavior, showing when it is optimal to recalibrate his/her portfolio, paying the transaction costs. 
