Optimal impulse control of a portfolio with a fixed transaction cost

DOI10.1007/S10100-013-0304-9zbMath1339.91103OpenAlexW2098537222MaRDI QIDQ301216

Daniele Marazzina, Stefano Baccarin

Publication date: 30 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11311/835533

zbMATH Keywords

quasi-variational inequalitiesportfolio optimizationtransaction costsimpulse control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence theories for free problems in two or more independent variables (49J10) Financial applications of other theories (91G80) Portfolio theory (91G10) Impulsive optimal control problems (49N25)

Related Items (6)

The state of financial modelling in 2012, as shaped by the GFC ⋮ Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ Mean-risk model for uncertain portfolio selection with background risk and realistic constraints ⋮ An approximation scheme for impulse control with random reaction periods ⋮ Fused Lasso approach in portfolio selection ⋮ On the optimality of joint periodic and extraordinary dividend strategies

Cites Work

• Unnamed Item
• Optimal investment, stochastic labor income and retirement
• Optimal investment and consumption with transaction costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Consumption-investment problems with transaction costs: Survey and open problems
• Optimal impulse control for a multidimensional cash management system with generalized cost functions
• A model of optimal portfolio selection under liquidity risk and price impact
• Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
• hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Optimal Impulse Control of Portfolios
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• The Mathematics of Financial Derivatives
• On an Investment-Consumption Model with Transaction Costs
• Computational Methods for Option Pricing
• Portfolio Selection with Transaction Costs

This page was built for publication: Optimal impulse control of a portfolio with a fixed transaction cost