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Nonlinear Price Impact and Portfolio Choice

Paolo Guasoni

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=8P8AzwEACAAJ&hl=&source=gbs_api

註釋

In a market with price-impact proportional to a power of the order flow, we find optimal trading policies and their implied performance for long-term investors who have constant relative risk aversion and trade a safe asset and a risky asset following geometric Brownian motion. These quantities admit asymptotic explicit formulas up to a structural constant that depends only on the curvature of the price-impact function. Trading rates are finite as with linear impact, but are lower near the target portfolio, and higher away from the target. The model nests the square-root impact law and, as extreme cases, linear impact and proportional transaction costs.