208 citations · 498 across the 31 of their papers we have counts for
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A Primer on Portfolio Choice with Small Transaction Costs
Johannes Muhle-Karbe, Max Reppen, H. Mete Soner
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 equa…
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
Albert Altarovici, Max Reppen, H. Mete Soner
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general…
Facelifting in Utility Maximization
Kasper Larsen, H. Mete Soner, Gordan Zitkovic
We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete…
Trading with Small Price Impact
Ludovic Moreau, Johannes Muhle-Karbe, H. Mete Soner
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly de…
Hedging under an expected loss constraint with small transaction costs
Bruno Bouchard, Ludovic Moreau, Mete H. Soner
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with a…
Asymptotics for Fixed Transaction Costs
Albert Altarovici, Johannes Muhle-Karbe, H. Mete Soner
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each t…
Robust Hedging with Proportional Transaction Costs
Yan Dolinsky, H. Mete Soner
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's p…