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Universal trading under proportional transaction costs

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  • Richard J Martin

Abstract

The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading algorithm design.

Suggested Citation

  • Richard J Martin, 2016. "Universal trading under proportional transaction costs," Papers 1603.06558, arXiv.org.
    • Handle: RePEc:arx:papers:1603.06558
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    File URL: http://arxiv.org/pdf/1603.06558
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    References listed on IDEAS

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    1. Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Swiss Finance Institute Research Paper Series 13-15, Swiss Finance Institute.
    2. Zakamouline, Valeri I., 2006. "European option pricing and hedging with both fixed and proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 1-25, January.
    3. A. E. Whalley & P. Wilmott, 1997. "An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 307-324, July.
    4. Richard J. Martin, 2012. "Optimal multifactor trading under proportional transaction costs," Papers 1204.6488, arXiv.org.
    5. Jan Kallsen, 1999. "A utility maximization approach to hedging in incomplete markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(2), pages 321-338, October.
    6. Joachim de Lataillade & Cyril Deremble & Marc Potters & Jean-Philippe Bouchaud, 2012. "Optimal Trading with Linear Costs," Papers 1203.5957, arXiv.org.
    7. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
    8. Richard Martin & Torsten Schoneborn, 2011. "Mean Reversion Pays, but Costs," Papers 1103.4934, arXiv.org.
    9. Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October.
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    Cited by:

    1. Eberhard Mayerhofer, 2024. "Almost Perfect Shadow Prices," JRFM, MDPI, vol. 17(2), pages 1-18, February.

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