Portfolio Choice with Transaction Costs: A User's Guide

Guasoni, Paolo; Muhle-Karbe, Johannes

doi:10.2139/ssrn.2120574

Download This Paper

Open PDF in Browser

Add Paper to My Library

Portfolio Choice with Transaction Costs: A User's Guide

Boston U. School of Management Research Paper No. 2012-22

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; University of Bologna - Department of Statistics

Johannes Muhle-Karbe

Imperial College London - Department of Mathematics

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: Suggested Citation

Guasoni, Paolo and 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