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Статья

On the Convexity of the Instantaneous Impact Cost Function

Journal of Mathematical Sciences. 2020. Vol. 248. No. 1. P. 116-122.

This paper studies the form of the instantaneous impact cost function in a financial market with transaction costs via an axiomatic approach. We show that several kinds of convexity of the cost function are equivalent to the corresponding properties of the price impact functions. The results clarify the implicit assumptions made when selecting a particular form of the cost function and can be used when choosing the correct portfolio optimization framework.