Faculty of Mathematics
Collaborative Research Centre 701
Spectral Structures and Topological Methods in Mathematics
stripes SFB701

Wednesday, January 11, 2017 - 17:00 in V3-201

On portfolio optimization under small fixed transaction costs

A talk in the 'Bielefeld Stochastic Afternoon - Math Finance Session' series by
Jan Kallsen from Christinan-Albrechts University of Kiel
Abstract: 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. (The talk is based on joint work with Mark Feodoria)