Optimal dynamic asset allocation with transaction costs: The role of hedging demands

ABSTRACT A number of papers have solved for the optimal dynamic portfolio strategy when
expected returns are time-varying and trading is costly, but only for agents with myopic utility …

Patience is a Virtue: Optimal Investment in the Presence of Market Resilience

N Chen, M Dai, Q Ding, C Yang - Available at SSRN 4671774, 2023 - papers.ssrn.com
This paper investigates an optimal investment problem in an illiquid market, modeling
explicitly the effects of three key features of market microstructure—market tightness, market …

A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs

L Gaegauf, S Scheidegger, F Trojani - Available at SSRN 4543794, 2023 - papers.ssrn.com
We introduce a comprehensive computational framework for solving dynamic portfolio
choice problems with many risky assets, transaction costs, and borrowing and short-selling …