Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Utility Maximization in a Binomial Model with transaction costs: a
  Duality Approach Based on the Shadow Price Process   We consider the problem of optimizing the expected logarithmic utility of the
value of a portfolio in a binomial model with proportional transaction costs
with a long time horizon. By duality methods, we can find expressions for the
boundaries of the no-trade-region and the asymptotic optimal growth rate, which
can be made explicit for small transaction costs. Here we find that, contrary
to the classical results in continuous time, the size of the no-trade-region as
well as the asymptotic growth rate depend analytically on the level of
transaction costs, implying a linear first order effect of perturbations of
(small) transaction costs. We obtain the asymptotic expansion by an almost
explicit construction of the shadow price process.

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The categories of this paper are: adap-org
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The categories of this paper are: solv-int
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The categories of this paper are: nucl-th
31
The categories of this paper are: ao-sci
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The categories of this paper are: chao-dyn
28
The categories of this paper are: alg-geom
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The categories of this paper are: hep-th
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The categories of this paper are: hep-lat
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The categories of this paper are: quant-ph
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The categories of this paper are: astro-ph
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The categories of this paper are: gr-qc
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The categories of this paper are: dg-ga
10
The categories of this paper are: q-bio
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The categories of this paper are: comp-gas
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The categories of this paper are: patt-sol
0
The categories of this paper are: hep-ph