Optimal rebalancing frequencies for multidimensional portfolios

DOI10.1007/s11579-017-0200-5zbMath1404.91244arXiv1510.05097OpenAlexW3126042492MaRDI QIDQ1744200

Ibrahim Ekren, Johannes Muhle-Karbe, Ren Liu

Publication date: 16 April 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.05097

zbMATH Keywords

transaction costsoptimal investmentmultiple assetsoptimal trading frequency

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios ⋮ Optimal Hedging of a Perpetual American Put with a Single Trade

Uses Software

• QRM

Cites Work

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