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Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
portfolio constraints transaction costs long-run portfolio choice
2012/6/5
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and...
On utility maximization under convex portfolio constraints
utility-maximization semimartingale financial market predictable convex-set-valued processes
2011/3/23
We consider a utility-maximization problem in a general semimartingale financial market, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predi...