92 citations · 100 across the 2 of their papers we have counts for
3 papers
q-fin.PR2012
Option Pricing and Hedging with Small Transaction Costs
Jan Kallsen, Johannes Muhle-Karbe
An investor with constant absolute risk aversion trades a risky asset with general Itô-dynamics, in the presence of small proportional transaction costs. In this setting, we formal…
q-fin.PM2012★ 8 cited
Portfolio Choice with Transaction Costs: a User's Guide
Paolo Guasoni, Johannes Muhle-Karbe
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some direct…
q-fin.CP2010★ 92 cited
On using shadow prices in portfolio optimization with transaction costs
J. Kallsen, J. Muhle-Karbe
In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal paper of Davis and Nor…