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- W2949957566 abstract "This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows to obtain explicit solutions in a wide range of settings, which we illustrate for a model with mean-reverting expected returns and proportional transaction costs. For even more complex models, we present a policy iteration scheme that allows to compute the solution numerically." @default.
- W2949957566 created "2019-06-27" @default.
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- W2949957566 date "2016-01-01" @default.
- W2949957566 modified "2023-09-23" @default.
- W2949957566 title "A Primer on Portfolio Choice with Small Transaction Costs" @default.
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- W2949957566 doi "https://doi.org/10.2139/ssrn.2881374" @default.
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