Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264514 
Year of Publication: 
2021
Citation: 
[Journal:] Mathematical Finance [ISSN:] 1467-9965 [Volume:] 32 [Issue:] 2 [Publisher:] Wiley Periodicals, Inc. [Place:] Hoboken, USA [Year:] 2021 [Pages:] 555-594
Publisher: 
Wiley Periodicals, Inc., Hoboken, USA
Abstract: 
We study optimal portfolio decisions for a retail investor that faces a strictly positive transaction cost in a classical Black‐Scholes market. We provide a construction of optimal trading strategies and characterize the value function as the unique viscosity solution of the associated quasi‐variational inequalities. Moreover, we numerically investigate the optimal trading regions for a variety of real‐world cost structures faced by retail investors. We find that the cost structure has a strong effect on the qualitative shape of the no‐trading region and optimal strategies.
Subjects: 
portfolio optimization
transaction costs
retail investor
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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