Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
From MaRDI portal
Publication:1027357
DOI10.1016/j.jedc.2006.06.006zbMath1163.91385MaRDI QIDQ1027357
Thangaraj Draviam, Thamayanthi Chellathurai
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.06.006
dynamic portfolio selection; buy and sell targets; buy/no transaction interface; fixed and proportional transaction costs; sell/no transaction interface
93E20: Optimal stochastic control
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G10: Portfolio theory
Related Items
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation, Portfolio selection in multidimensional general and partial moment space, Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate, Dynamic liquidation under market impact
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing with transaction costs using a Markov chain approximation
- European option pricing and hedging with both fixed and proportional transaction costs
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Optimal Impulse Control of Portfolios
- Impulse control of portfolios with jumps and transaction costs
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- European Option Pricing with Transaction Costs
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
- On an Investment-Consumption Model with Transaction Costs
- Portfolio Selection with Transaction Costs
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item