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What is Dynamic Portfolio Selection with Costs about?

This document summarizes a research paper that examines dynamic portfolio selection when there are market impact costs from trading. It proposes a suboptimal portfolio selection policy that solves a tractable problem by modeling the cost of trading through a penalty term in the objective, rather than explicitly modeling its impact on asset prices. Through asymptotic analysis, it shows this proposed policy has sensible properties. Numerical experiments also show it performs well compared to the optimal polic

Author

Hassan AlJishi

Language

EN