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Albert Altarovici

Publications and source records attributed to Albert Altarovici.

2 recordsLinked to original sources
arXiv2016

Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

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 utility functions are considered. Weak dynamic programming is proved in the general setting and a comparison result for possibly discontinuous viscosity solutions of the dynamic programming equation is provided. Detailed numerical experiments illustrate several properties of the optimal investment strategies.

q-fin.PM↗
arXiv2013

Asymptotics for Fixed Transaction Costs

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 trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy.

q-fin.PM↗