Singular optimal strategies for investment with transaction costs

DOI10.1214/AOAP/1028903383zbMATH Open0967.93096OpenAlexW1999898007MaRDI QIDQ1296728FDOQ1296728

Ananda Weerasinghe

Publication date: 20 August 2001

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903383

Recommendations

• Optimal singular control strategies for controlling a process to a goal.
• scientific article; zbMATH DE number 2051035
• OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS
• Optimal portfolio selection with transaction costs

zbMATH Keywords

local timestochastic optimal controltransaction costsdiffusion processesinvestment policyrisky assetallocation of wealth

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Stochastic differential equations with reflecting boundary conditions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Portfolio Selection with Transaction Costs
• Optimal investment and consumption with transaction costs
• Title not available (Why is that?)
• European Option Pricing with Transaction Costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• A bang-bang strategy for a finite fuel stochastic control problem
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Optimal singular control strategies for controlling a process to a goal.
• Using fuel to control a process to a goal

Cited In (5)

• Title not available (Why is that?)
• Optimal singular control strategies for controlling a process to a goal.
• Title not available (Why is that?)
• Optimal investment with transaction costs and without semimartingales
• Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance

This page was built for publication: Singular optimal strategies for investment with transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1296728)