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VERSION:2.0
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LOCATION:C 209\, UZA 4 Wien Nordbergstr. 15
SEQUENCE:0
CONTACT:
ORGANIZER:Universität Wien\, Fakultät für Mathematik
CLASS:PUBLIC
DTEND:20120202T183000
DTSTART:20120202T170000
UID:2012-02-22T20:23:21+01:00_286666635@www
DTSTAMP:20120222T202321
DESCRIPTION:Abstract: Constantinides (1986) observed that "transaction cost
 s have a first order effect on asset demand". On the other hand\, he found 
 that their welfare impact is typically small\, since "a small liquidity pre
 mium is sufficient to compensate an investor from deviating significantly f
 rom the target portfolio proportions". Starting from the work of Shreve and
  Soner (1994)\, these numerical results have been made precise in an asympt
 otic sense: deviations from the optimal frictionless portfolio are of order
  $\varepsilon^{1/3}$ as the spread $\epsilon$ becomes small\, but the corre
 sponding liquidity premium and utility loss are only of order $\varepsilon^
 {2/3}$. In the present study\, we discuss how these results change if exoge
 nous portfolio constraints limit the investor's position in the risky asset
 . This is joint work with Ren Liu. 
SUMMARY:Im Rahmen des Seminars Finanzmathematik von o. Univ.-Prof. Dr. Walt
 er Schachermayer: "Portfolio choice with small transactions costs and bindi
 ng leverage constraints"
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