Title	On portfolio optimization under small fixed transaction costs
Creator	Kallsen, Jan
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2016-05-24T10:01
Description	While optimal investment under proportional transaction costs is quite well understood by now, less has been done in the presence of fixed fees for any single transaction. In this talk we consider the asymptotics of the no-trade region for small fixed costs. More specifically, we sketch the rigorous verification for a general univariate Ito process market under exponential utility.
Extent	25 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: University of Kiel
Series	BIRS Workshop Lecture Videos (Oaxaca de Juárez (Mexico))
Date Available	2017-01-26
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0339901
URI	http://hdl.handle.net/2429/59785
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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