Optimal investment for retail investors
研究了散户在Black-Scholes市场中面临正交易成本时的最优投资组合决策，构建了最优交易策略，并数值分析了不同成本结构对无交易区域形状的影响。
Abstract We study optimal portfolio decisions for a retail investor that faces a strictly positive transaction cost in a classical Black‐Scholes market. We provide a construction of optimal trading strategies and characterize the value function as the unique viscosity solution of the associated quasi‐variational inequalities. Moreover, we numerically investigate the optimal trading regions for a variety of real‐world cost structures faced by retail investors. We find that the cost structure has a strong effect on the qualitative shape of the no‐trading region and optimal strategies.