# Portfolio Choice with Transaction Costs: A User's Guide

@article{Guasoni2012PortfolioCW, title={Portfolio Choice with Transaction Costs: A User's Guide}, author={Paolo Guasoni and Johannes Muhle‐Karbe}, journal={Boston: Finance (Topic)}, year={2012} }

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 directions for future research.

## 45 Citations

A Primer on Portfolio Choice with Small Transaction Costs

- Economics, Mathematics
- 2016

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 equations and simplify…

A Primer on Portfolio Choice with Small Transaction Costs

- Economics, Mathematics
- 2016

This review is an introduction to asymptotic methods for portfolio choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and how to…

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

- EconomicsSIAM J. Control. Optim.
- 2019

In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon,” we give an accuracy proof for the finite time optimal investment and consu...

Optimal Mean-Reversion Strategy in the Presence of Bid-Ask Spread and Delays in Capital Allocations

- Economics
- 2016

A portfolio optimization problem for an investor who trades T-bills and a mean-reverting stock in the presence of proportional and convex transaction costs is considered. The proportional transacti...

A Note on Market Structure with Transaction Costs

- Business, Economics
- 2018

Transaction costs play a significant role in financial markets, and many studies have been conducted on this topic to date. Research on this topic may be divided into two categories. The first…

The Impact of Proportional Transaction Costs on Systematically Generated Portfolios

- EconomicsSIAM J. Financial Math.
- 2020

The performance of several portfolios in the presence of dividends and transaction costs is examined under different configurations involving the trading frequency, constituent list size, and renewing frequency and a method to smooth transaction Costs is proposed.

A multi-asset investment and consumption problem with transaction costs

- Mathematics, EconomicsFinance and Stochastics
- 2019

In this article, we study a multi-asset version of the Merton investment and consumption problem with CRRA utility and proportional transaction costs. We specialise to a case where transaction costs…

Shadow price in the power utility case

- Economics
- 2015

We consider the problem of maximizing expected power utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in Shreve and Soner…

When Is the Transaction Cost Optimal?

- Economics, Business
- 2018

Transaction costs play a significant role in financial markets, and many studies have been conducted on this topic to date. Research on this topic may be divided into two categories. The first…

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

- Economics
- 2014

Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the…

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