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Asymptotic Methods for Transaction Costs.
- Source :
- Risks; Apr2024, Vol. 12 Issue 4, p64, 32p
- Publication Year :
- 2024
-
Abstract
- We propose a general approximation method for the determination of optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several problems, from optimally tracking benchmarks and hedging the log contract to maximizing utility from terminal wealth. Strategies are also approximated by practically executable, discrete trades. We identify the necessary trade-off between the trading frequency and trade size to ensure satisfactory agreement with the theoretically optimal, continuous strategies of infinite activity. [ABSTRACT FROM AUTHOR]
- Subjects :
- POLYNOMIAL approximation
TRANSACTION costs
MARKETING strategy
Subjects
Details
- Language :
- English
- ISSN :
- 22279091
- Volume :
- 12
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Risks
- Publication Type :
- Academic Journal
- Accession number :
- 176901606
- Full Text :
- https://doi.org/10.3390/risks12040064