MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
From MaRDI portal
Publication:5488977
DOI10.1111/j.1467-9965.2006.00273.xzbMath1145.91352MaRDI QIDQ5488977
Publication date: 25 September 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00273.x
Hamilton-Jacobi-Bellman equation; free boundary problem; stochastic control; portfolio optimization; transaction costs
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs
35R35: Free boundary problems for PDEs
91G10: Portfolio theory
Related Items
Analysis of the rebalancing frequency in log-optimal portfolio selection, Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments, A computational scheme for optimal investment - consumption with proportional transaction costs, Portfolio selection with transaction costs under expected shortfall constraints, Futures trading with transaction costs, A moving boundary approach to American option pricing, Optimal investment in the foreign exchange market with proportional transaction costs, SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS, Optimization ofN-risky asset portfolios with stochastic variance and transaction costs, ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- A computational scheme for optimal investment - consumption with proportional transaction costs
- Portfolio selection with transactions costs
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Numerical schemes for investment models with singular transactions
- Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
- On an Investment-Consumption Model with Transaction Costs
- A Numerical Method for Solving Singular Stochastic Control Problems