报告题目: The general structure of optimal investment and consumption with small transaction costs

报告人：Professor JanKallsen  （University of Kiel ）

报告时间：2月26日下午4:00-5:00

报告地点：览秀楼105学术报告厅

报告摘要: Cvitanic and Karatzas (1996), Loewenstein (2000) and others gained the fundamental insight that optimal investment problems under proportional transaction costs are equivalent to frictionless problems relative to some fictitious shadow price process. More recently, this idea has been used in order to actually determine optimal portfolios in concrete models. In this talk we investigate the general structure of optimal investment and consumption under small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs, we derive simple formal asymptotics for the optimal policy and welfare. These reveal the roles of preferences as well as market and cost dynamics, and also lead to a fully dynamic model for the implied trading volume.