Risk sensitive asset management with transaction costs

DOI10.1007/S007800050001MaRDI QIDQ1979075zbMATH OpenOpenAlexFDO

Authors Stanley R. Pliska, Tomasz R. Bielecki

Publication date 24 May 2000

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050001

zbMATH Keywords

transaction costsincomplete marketsquasi-variational inequalitiesoptimal portfolio selectionrisk-sensitive impulsive stochastic control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Optimal stochastic control (93E20)

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Cited in

(37)

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• Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
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• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• Convergence of optimal investment problems in the vanishing fixed cost limit
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• Implicit dynamical systems and quasi variational inequalities
• Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs
• Portfolios and risk premia for the long run
• Optimal Asset Allocation with Asymptotic Criteria
• Investors' preference for a positive tax rate depends on the level of the interest rate
• Monte Carlo methods for mean-risk optimization and portfolio selection
• Risk-sensitive benchmarked asset management
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• Optimal portfolio policies under fixed and proportional transaction costs
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
• Utility maximisation in a factor model with constant and proportional transaction costs

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