English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

We consider the problem of optimizing the expected logarithmic utility of thevalue of a portfolio in a binomial model with proportional transaction costswith a long time horizon. By duality methods, we can find expressions for theboundaries of the no-trade-region and the asymptotic optimal growth rate, whichcan be made explicit for small transaction costs. Here we find that, contraryto the classical results in continuous time, the size of the no-trade-region aswell as the asymptotic growth rate depend analytically on the level oftransaction costs, implying a linear first order effect of perturbations of(small) transaction costs. We obtain the asymptotic expansion by an almostexplicit construction of the shadow price process.

Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process