Artikel
Optimal investment for retail investors
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Mathematical Finance ; ISSN: 1467-9965 ; Volume: 32 ; Year: 2021 ; Issue: 2 ; Pages: 555-594 ; Hoboken, USA: Wiley Periodicals, Inc.
- Thema
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portfolio optimization
transaction costs
retail investor
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Belak, Christoph
Mich, Lukas
Seifried, Frank T.
- Ereignis
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Veröffentlichung
- (wer)
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Wiley Periodicals, Inc.
- (wo)
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Hoboken, USA
- (wann)
-
2021
- DOI
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doi:10.1111/mafi.12336
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Belak, Christoph
- Mich, Lukas
- Seifried, Frank T.
- Wiley Periodicals, Inc.
Entstanden
- 2021
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