CodiceQDD 138
TitoloOptimal impulse control of a portfolio with a fixed transaction cost
Autore/iBaccarin, S; Marazzina, D.
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AbstractThe 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 risk-free, 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.