线性和二次成本的再平衡
Rebalancing with Linear and Quadratic Costs
摘要：
我们考虑一个由一种安全资产和一种风险资产组成的市场，这提供了持续的投资机会。考虑到比例交易成本和线性价格影响，我们得到了最优的再平衡政策的代表性投资者具有恒定的相对风险厌恶和长期。
英文摘要：
We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk aversion and a long horizon.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
