Optimal trading under proportional transaction costs

The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design

In this paper, we consider how to `optimally' deal with proportional transaction costs when trading a single asset that follows an arbitrary diffusion process. Many of the superficial differences between the various strands of research are unimportant, and there is a universal law that we formally publish here. Although the literature on the subject is reasonably large, there is very little on applications in systematic trading algorithm design. The purpose of this paper is therefore to

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The future of life insurance

As the world constantly evolves and changes, so too does the life insurance industry, which is preparing for a multitude of challenges, particularly in three areas: interest rates, regulatory mandates and technology (software, underwriting tools and…

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