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Simple Bounds for Transaction Costs

dc.contributor.authorBouchard, Bruno
dc.contributor.authorMuhle-Karbe, Johannes
dc.date.accessioned2018-09-03T13:02:31Z
dc.date.available2018-09-03T13:02:31Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17927
dc.language.isoenen
dc.subjectTransaction costs
dc.subjectUtility maximization
dc.subjectAsymptotic analysis
dc.subject.ddc519en
dc.subject.classificationjelG.G1.G11
dc.subject.classificationjelC.C6.C61
dc.titleSimple Bounds for Transaction Costs
dc.typeDocument de travail / Working paper
dc.description.abstractenUsing elementary arguments, we derive Lp-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk aversion, these estimates yield lower bounds for the frictional value function, which paves the way for its asymptotic analysis using stability results for viscosity solutions. Using tools from Malliavin calculus, we also derive simple sufficient conditions for the regularity of frictionless optimal trading strategies, the second main ingredient for the asymptotic analysis of small transaction costs.
dc.publisher.cityParis
dc.identifier.citationpages14
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris Dauphine-PSL
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2022-01-21T10:50:15Z


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