标题： 具有小的临时和短暂价格影响的投资组合选择 显示英文标题

标题： Portfolio Choice with Small Temporary and Transient Price Impact

摘要： 我们研究了Garleanu和Pedersen（2016）引入的具有短期和暂时价格影响的模型中的投资组合选择。 在两种摩擦都较小时的大流动性极限下，我们推导出渐近最优交易速率和相应的最小初始性能损失的显式公式。 我们发现，损失由无摩擦目标策略的波动性决定，就像只有短期价格影响的模型一样。 相反，相应的最优投资组合不仅跟踪无摩擦优化器，还利用了市场价格与其无影响水平之间的位移。 显示英文摘要

摘要： We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen (2016). In the large-liquidity limit where both frictions are small, we derive explicit formulas for the asymptotically optimal trading rate and the corresponding minimal leading-order performance loss. We find that the losses are governed by the volatility of the frictionless target strategy, like in models with only temporary price impact. In contrast, the corresponding optimal portfolio not only tracks the frictionless optimizer, but also exploits the displacement of the market price from its unaffected level.