High-dimensional portfolio optimization with transaction costs

DOI10.1142/S0219024916500254MaRDI QIDQ2814667zbMATH OpenOpenAlexFDO

Authors Mark Broadie, Weiwei Shen

Publication date 22 June 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024916500254

zbMATH Keywords

approximate dynamic programminglower and upper boundsportfolio optimizationtransaction costsvalue function iteration

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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Cites work

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• Monte Carlo methods for security pricing
• Multi‐asset portfolio optimization with transaction cost
• Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
• On an Investment-Consumption Model with Transaction Costs
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
• Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
• Theory of portfolio optimization in markets with frictions

Cited in

(5)

• Numerical solutions to dynamic portfolio problems with upper bounds
• Large-scale portfolio allocation under transaction costs and model uncertainty
• Resolution of degeneracy in Merton's portfolio problem
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
• Large scale portfolio optimization with piecewise linear transaction costs

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