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Portfolio Choice with Transaction Costs: A User’s Guide

Part of the Lecture Notes in Mathematics book series (LNM,volume 2081)

Abstract

Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.

Keywords

  • Transaction Cost
  • Optimal Portfolio
  • Risky Asset
  • Shadow Price
  • Sharpe Ratio

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

The authors are grateful to Vicky Henderson, Ronnie Sircar, and Maxim Bichuch for useful comments, to Jens Jackwerth for additional references, and to Ren Liu for proofreading the manuscript.

Partially supported by the ERC (278295), NSF (DMS-0807994, DMS-1109047), SFI (07/MI/008, 07/SK/M1189, 08/SRC/FMC1389), and FP7 (RG-248896)

Partially supported by the National Centre of Competence in Research “Financial Valuation and Risk Management” (NCCR FINRISK), Project D1 (Mathematical Methods in Financial Risk Management), of the Swiss National Science Foundation (SNF).

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Notes

  1. 1.

    The Mathscinet database shows only nine publications with “transaction costs” in their title in the eighties (1980–1989). This figure rises to 52 in the nineties (1990–1999), and to 278 in the naughties (2000–2009).

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Correspondence to Paolo Guasoni .

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Guasoni, P., Muhle-Karbe, J. (2013). Portfolio Choice with Transaction Costs: A User’s Guide. In: Paris-Princeton Lectures on Mathematical Finance 2013. Lecture Notes in Mathematics, vol 2081. Springer, Cham. https://doi.org/10.1007/978-3-319-00413-6_3

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