Worst-case portfolio optimization with proportional transaction costs
DOI10.1080/17442508.2014.991325zbMATH Open1414.91329OpenAlexW3125382465MaRDI QIDQ2804001FDOQ2804001
Authors: Christoph Belak, Olaf Menkens, Jörn Sass 
Publication date: 27 April 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://doras.dcu.ie/20852/1/OA__Uniqueness_of_Viscosity_Solutions.pdf
Recommendations
dynamic programmingportfolio optimizationtransaction costsviscosity solutionscrash modellingworst-case scenarios
Dynamic programming (90C39) Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
Cites Work
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Cited In (11)
- On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- The worst-case discounted regret portfolio optimization problem
- Worst-case portfolio optimization in a market with bubbles
- Worst-case optimal investment with a random number of crashes
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Asset allocation with distorted beliefs and transaction costs
- Worst-case portfolio optimization in discrete time
- OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
- Optimal portfolio policies under fixed and proportional transaction costs
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
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