An investor trades a safe and several risky assets with linear price impact to maximize
expected utility from terminal wealth. In the limit for small impact costs, we explicitly …

In a market with an asset price described by fractional Brownian motion, which can be
traded with temporary nonlinear price impact, we find asymptotically optimal strategies for …

We study risk‐sharing equilibria with general convex costs on the agents' trading rates. For
an infinite‐horizon model with linear state dynamics and exogenous volatilities, we prove …

This paper extends basic results on arbitrage bounds and attainable claims to illiquid
markets and general swap contracts where both claims and premiums may have multiple …

When returns are partially predictable and trading is costly, CARA investors track a target
portfolio at a constant trading speed. The target portfolio is optimal for a frictionless market …

We study portfolio choice with small nonlinear price impact on general market dynamics.
Using probabilistic techniques and convex duality, we show that the asymptotic optimum can …

In this paper we study optimal investment when the investor can peek some time units into
the future, but cannot fully take advantage of this knowledge because of quadratic …

We find asymptotically optimal trading policies for long-term investors with constant relative
risk aversion, in a multiple-assets market, where expected returns and covariances are …

This work studies the deep learning-based numerical algorithms for optimal hedging
problems in markets with general convex transaction costs. Our main focus is on how these …

We establish the existence of minimizers in a rather general setting of dynamic stochastic
optimization in finite discrete time without assuming either convexity or coercivity of the …