Optimal Index Tracking Under Transaction Costs and Impulse Control

DOI10.1142/S0219024998000187MaRDI QIDQ4216117zbMATH OpenFDO

Authors Ian R. C. Buckley, Ralf Korn

Publication date 28 December 1998

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

Full work available at URL https://doi.org/10.1142/S0219024998000187

zbMATH Keywords

cash managementimpulse control

Mathematics Subject Classification ID

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Cites work

• Impulse Control Method and Exchange Rate
• Impulse Control of Brownian Motion
• Optimal Impulse Control When Control Actions Have Random Consequences
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Portfolio Selection with Transaction Costs

Cited in

(17)

• A hybrid optimization approach to index tracking
• Optimal Central Bank intervention in the foreign exchange market
• An approximation scheme for impulse control with random reaction periods
• Index tracking and enhanced indexing using mixed conditional value-at-risk
• An evolutionary heuristic for the index tracking problem.
• An optimal time-management policy for labor supply and consumption decisions
• Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
• Optimizing venture capital investments in a jump diffusion model
• An efficient optimization approach for a cardinality-constrained index tracking problem
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• scientific article; zbMATH DE number 1313345 (Why is no real title available?)
• scientific article; zbMATH DE number 1780006 (Why is no real title available?)
• Optimal tracking for asset allocation with fixed and proportional transaction costs
• Brownian inventory models with convex holding cost. I: Average-optimal controls
• Recursive impulse control problem with Markov-switching and viscosity solution of HJB equation
• Can continuous-time portfolio optimization really be applied?

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