화학공학소재연구정보센터
SIAM Journal on Control and Optimization, Vol.55, No.6, 3533-3563, 2017
REBALANCING WITH LINEAR AND QUADRATIC COSTS
We consider a financial market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk aversion and a long horizon.