Portfolio Choice with Transaction Costs: A User's Guide

26 Pages Posted: 1 Aug 2012 Last revised: 21 Aug 2012

See all articles by Paolo Guasoni

Paolo Guasoni

Boston University - Department of Mathematics and Statistics; Dublin City University - School of Mathematical Sciences

Johannes Muhle-Karbe

Carnegie Mellon University - Department of Mathematical Sciences

Date Written: July 30, 2012

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 costs, long-run, portfolio choice, Merton problem

JEL Classification: G11, G12

Suggested Citation

Guasoni, Paolo and Muhle-Karbe, Johannes, Portfolio Choice with Transaction Costs: A User's Guide (July 30, 2012). Boston U. School of Management Research Paper No. 2012-22. Available at SSRN: https://ssrn.com/abstract=2120574 or http://dx.doi.org/10.2139/ssrn.2120574

Paolo Guasoni (Contact Author)

Boston University - Department of Mathematics and Statistics ( email )

Boston, MA 02215
United States

Dublin City University - School of Mathematical Sciences ( email )

Dublin
Ireland

HOME PAGE: http://www.guasoni.com

Johannes Muhle-Karbe

Carnegie Mellon University - Department of Mathematical Sciences ( email )

Pittsburgh, PA 15213-3890
United States

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