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Paris-Princeton Lectures on Mathematical Finance 2013 pp 169–201Cite as

Portfolio Choice with Transaction Costs: A User’s Guide

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Part of the book series: Lecture Notes in Mathematics ((LNM,volume 2081))

Abstract

Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.

The authors are grateful to Vicky Henderson, Ronnie Sircar, and Maxim Bichuch for useful comments, to Jens Jackwerth for additional references, and to Ren Liu for proofreading the manuscript.

Partially supported by the ERC (278295), NSF (DMS-0807994, DMS-1109047), SFI (07/MI/008, 07/SK/M1189, 08/SRC/FMC1389), and FP7 (RG-248896)

Partially supported by the National Centre of Competence in Research “Financial Valuation and Risk Management” (NCCR FINRISK), Project D1 (Mathematical Methods in Financial Risk Management), of the Swiss National Science Foundation (SNF).

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Notes

  1. 1.

    The Mathscinet database shows only nine publications with “transaction costs” in their title in the eighties (1980–1989). This figure rises to 52 in the nineties (1990–1999), and to 278 in the naughties (2000–2009).

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Authors and Affiliations

  1. Department of Mathematics and Statistics, Boston University, 111 Cummington Street Boston, Boston, MA, 02215, USA

    Paolo Guasoni

  2. School of Mathematical Sciences, Dublin City University, Glasnevin, Dublin 9, Ireland

    Paolo Guasoni

  3. Departement Mathematik, ETH Zürich, Rämistrasse 101, CH-8092, Zürich, Switzerland

    Johannes Muhle-Karbe

  4. Swiss Finance Institute, Zürich, Switzerland

    Johannes Muhle-Karbe

Authors
  1. Paolo Guasoni
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  2. Johannes Muhle-Karbe
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Correspondence to Paolo Guasoni .

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Guasoni, P., Muhle-Karbe, J. (2013). Portfolio Choice with Transaction Costs: A User’s Guide. In: Paris-Princeton Lectures on Mathematical Finance 2013. Lecture Notes in Mathematics, vol 2081. Springer, Cham. https://doi.org/10.1007/978-3-319-00413-6_3

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