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CodiceQDD 144
TitoloPortfolio Optimization over a Finite Horizon with Fixed and Proportional Transaction Costs and Liquidity Constraints
Data2013-01-15
Autore/iBaccarin, S.; Marazzina, D.
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AbstractWe investigate a portfolio optimization problem for an agent who invests in two assets, a risk-free and a risky asset modeled by a geometric Brownian motion. The investor faces both fixed and proportional transaction costs and liquidity constraints. His objective is to maximize the expected utility from the portfolio liquidation at a terminal finite horizon. The model is formulated as a parabolic impulse control problem and we characterize the value function as the unique constrained viscosity solution of the associated quasi-variational inequality. We compute numerically the optimal policy by a an iterative finite element discretization technique, presenting extended numerical results in the case of a constant relative risk aversion utility function. Our results show that, even with small transaction costs and distant horizons, the optimal strategy is essentially a buy-and-hold trading strategy where the agent recalibrates his portfolio very few times. This contrasts sharply with the continuous interventions of the Merton s model without transaction costs.

Dipartimento di Matematica