Log-optimal portfolio-selection strategies with proportional transaction costs

MaRDI QIDQ2888932zbMATH OpenFDO

Authors László Györfi, Harro Walk

Publication date 4 June 2012

Full work available at URL http://ebooks.worldscinet.com/ISBN/9781848168145/9781848168145_0003.html

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• Performance analysis of log-optimal portfolio strategies with transaction costs
• Portfolio selection at proportional transaction costs
• Optimal portfolio policies under fixed and proportional transaction costs
• Almost surely optimal portfolios under proportional transaction costs
• OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS
• Empirical Portfolio Selection Strategies With Proportional Transaction Costs
• Discrete time portfolio selection with proportional transaction costs
• Optimal portfolio selection with transaction costs

Cited in

(16)

• Log-optimal investment in the long run with proportional transaction costs when using shadow prices.
• Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
• Growth-optimal portfolio selection with short selling and leverage
• On evaluation of strategies of a return process
• Penalty methods for continuous-time portfolio selection with proportional transaction costs
• Exponential growth of fixed-mix strategies in stationary asset markets
• GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
• Limit theorems for log-optimal portfolio
• Growth-optimal portfolios under transaction costs
• Performance analysis of log-optimal portfolio strategies with transaction costs
• UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS
• Almost surely optimal portfolios under proportional transaction costs
• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
• Investment strategies in the long run with proportional transaction costs and a HARA utility function
• OPTIMAL LAG IN DYNAMICAL INVESTMENTS
• Growth Optimal Investment with Transaction Costs

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