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q-fin.PM2024
Asymptotic methods for transaction costs
Eberhard Mayerhofer
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual…
q-fin.PM2024
Almost Perfect Shadow Prices
Eberhard Mayerhofer
Shadow prices simplify the derivation of optimal trading strategies in markets with transaction costs by transferring optimization into a more tractable, frictionless market. This…