标题： 带有小额交易成本和约束性投资组合约束的投资组合选择 显示英文标题

标题： Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints

摘要： 具有恒定相对风险厌恶和无限期规划范围的投资者在存在小额交易成本和强制性外生投资组合约束的情况下，交易一种风险资产和一种安全资产，该资产的投资机会是恒定的。 我们明确推导出最优交易策略、其福利以及由此产生的交易量。 作为一个应用实例，我们研究了在不同借贷利率和保证金要求的替代方案中选择主经纪商的问题。 此外，我们讨论了监管约束的变化如何影响为非流动性贷款提供的存款利率。 显示英文摘要

摘要： An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its welfare, and implied trading volume. As an application, we study the problem of selecting a prime broker among alternatives with different lending rates and margin requirements. Moreover, we discuss how changing regulatory constraints affect the deposit rates offered for illiquid loans.