This review is an introduction to asymptotic methods for portfolio choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and how to simplify them in the small-cost limit. This allows one to obtain explicit solutions in a wide range of settings, which we illustrate for a model with mean-reverting expected returns and proportional transaction costs. For more complex models, we present a policy iteration scheme that allows one to numerically compute the solution.

中文翻译：

---

低交易成本的投资组合选择入门

本文是对交易成本较小的投资组合选择问题的渐近方法的介绍。我们概述了如何导出相应的动态规划方程，以及如何在较小的成本范围内简化它们。这样一来，人们就可以在各种情况下获得明确的解决方案，我们将针对具有均值回复的预期收益和成比例交易成本的模型进行说明。对于更复杂的模型，我们提出了一种策略迭代方案，该方案允许人们对解决方案进行数值计算。