ABSTRACT
The list of papers dealing with portfolio optimisation under transaction costs is still not very long. Especially the highly realistic case of transaction costs including both a fixed and a variable cost component is not dealt with very often. In Korn [4] an approach of Eastham and Hastings [2] was taken up and refined where the portfolio problem under fixed and proportional transaction costs was transformed into an impulse control problem. As an explicit example the exponential utility case in a market with just one stock and bond was considered. However, as it seems to be impossible to solve the corresponding quasi-vari ational inequalities explicitly, an asymptotic solution method was presented.
