Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Balancing small fixed and proportional transaction cost in trading
  strategies   Transaction costs appear in financial markets in more than one form. There
are several results in the literature on small proportional transaction cost
and not that many on fixed transaction cost. In the present work, we
heuristically study the effect of both types of transaction cost by focusing on
a portfolio optimization. Here we assume the presence of fixed transaction cost
and that there is a balance between fixed and proportional transaction cost,
such that none of them dominates the other, asymptotically. We find out that
the deviation of value function, when the fixed transaction cost is
$\varepsilon$, from the Merton value function, without transaction cost, is of
order $\varepsilon^1/2$ which is different from the pure proportional cost of
$\varepsilon^2/3$. Based on this, we propose an expansion for the value
function in terms of powers of $\varepsilon^1/2$.

9
The categories of this paper are: nlin
11
The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
16
The categories of this paper are: stat
24
The categories of this paper are: dg-ga
1
The categories of this paper are: cs
27
The categories of this paper are: comp-gas
36
The categories of this paper are: cmp-lg
21
The categories of this paper are: adap-org
5
The categories of this paper are: gr-qc
6
The categories of this paper are: astro-ph
26
The categories of this paper are: bayes-an
20
The categories of this paper are: acc-phys
32
The categories of this paper are: atom-ph
18
The categories of this paper are: econ
25
The categories of this paper are: patt-sol