Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs

DOI10.1080/13504860903336437zbMath1233.91233OpenAlexW2084518895WikidataQ60171466 ScholiaQ60171466MaRDI QIDQ2786210

Emmeline Storey, Colin Atkinson

Publication date: 21 September 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903336437

zbMATH Keywords

dynamic programmingportfolio optimizationtransaction costsutility maximization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Portfolio theory (91G10)

Related Items (3)

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Multi-period portfolio management and a simple method for calculating the realized return with transaction costs ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis

Cites Work

• Portfolio optimization under transaction costs in the CRR model
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Information Theory and Statistical Mechanics
• Multi‐asset portfolio optimization with transaction cost
• Portfolio Selection with Transaction Costs
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