Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs

DOI10.1239/aap/1222868181zbMath1151.91055OpenAlexW2027035993MaRDI QIDQ3535648

Takashi Tamura

Publication date: 13 November 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1222868181

zbMATH Keywords

portfolio optimizationtransaction costimpulsive controlquasivariational inequality

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Impulsive optimal control problems (49N25)

Related Items

Growth optimal portfolio selection under proportional transaction costs with obligatory diversification ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ Optimal portfolio selection under vanishing fixed transaction costs ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case

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