Portfolio choice with small temporary and transient price impact
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen. In the large-liquidity limit where both frictions are small, we derive explicit formulas for the asymptotically optimal trading rate and the corresponding minimal leading-order...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Blackwell Publishing Inc.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |