Rebalancing with Linear and Quadratic Costs
arXiv:1402.5306
Abstract
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.
arXiv comment30 pages, 3 figures, to appear in "SIAM Journal on Control and Optimization"