An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy.
['Albert Altarovici', 'Johannes Muhle-Karbe', 'H. Mete Soner']
Asymptotics for Fixed Transaction Costs