Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Portfolio Optimization under Small Transaction Costs: a Convex Duality
  Approach   We consider an investor with constant absolute risk aversion who trades a
risky asset with general Ito dynamics, in the presence of small proportional
transaction costs. Kallsen and Muhle-Karbe (2012) formally derived the
leading-order optimal trading policy and the associated welfare impact of
transaction costs. In the present paper, we carry out a convex duality approach
facilitated by the concept of shadow price processes in order to verify the
main results of Kallsen and Muhle-Karbe under well-defined regularity
conditions.

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The categories of this paper are: adap-org
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The categories of this paper are: gr-qc
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The categories of this paper are: hep-th
31
The categories of this paper are: ao-sci
4
The categories of this paper are: cond-mat
10
The categories of this paper are: q-bio
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The categories of this paper are: eess
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The categories of this paper are: cs
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The categories of this paper are: math-ph
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The categories of this paper are: chao-dyn
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The categories of this paper are: stat
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The categories of this paper are: patt-sol
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The categories of this paper are: hep-ph
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The categories of this paper are: q-alg
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The categories of this paper are: nucl-ex
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The categories of this paper are: alg-geom