Rebalancing with linear and quadratic costs

Ren Liu; Johannes Muhle-Karbe; Marko Weber

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk aversion and a long horizon

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Year of publication:	2014
Authors:	Liu, Ren ; Muhle-Karbe, Johannes ; Weber, Marko
Publisher:	Genève : Swiss Finance Inst.
Subject:	price impact \| transaction costs \| portfolio choice \| long-run \| Transaktionskosten \| Transaction costs \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory

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