A Primer on Portfolio Choice with Small Transaction Costs
本文介绍小额交易成本下投资组合问题的渐近方法，推导动态规划方程并在小成本极限下简化，给出均值回复预期收益和比例交易成本模型的显式解，以及复杂模型的数值策略迭代方案。
This review is an introduction to asymptotic methods for portfolio choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and how to simplify them in the small-cost limit. This allows one to obtain explicit solutions in a wide range of settings, which we illustrate for a model with mean-reverting expected returns and proportional transaction costs. For more complex models, we present a policy iteration scheme that allows one to numerically compute the solution.