Guasoni, Paolo; Muhle-Karbe, Johannes - National Centre of Competence in Research - Financial … - 2011
For an investor with constant absolute risk aversion and a long horizon, who trades in amarket with constant investment … opportunities and small proportional transaction costs, weobtain explicitly the optimal investment policy, its implied welfare … maximize profits. The resulting endogenous spread dependson investment opportunities only, and is of the order of a few …