Optimal impulse control of a portfolio with a fixed transaction cost

DOI10.1007/S10100-013-0304-9zbMATH Open1339.91103OpenAlexW2098537222MaRDI QIDQ301216FDOQ301216

Authors: Stefano Baccarin, Daniele Marazzina 

Publication date: 30 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11311/835533

Recommendations

• Optimal portfolio policies under fixed and proportional transaction costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Impulse control of portfolios with jumps and transaction costs
• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• Impulsive control of portfolios

zbMATH Keywords

portfolio optimizationtransaction costsquasi-variational inequalitiesimpulse control

Mathematics Subject Classification ID

Portfolio theory (91G10) Impulsive optimal control problems (49N25) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Existence theories for free problems in two or more independent variables (49J10)

Cites Work

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Cited In (11)

• Fused Lasso approach in portfolio selection
• An approximation scheme for impulse control with random reaction periods
• Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
• Optimal tracking for asset allocation with fixed and proportional transaction costs
• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• Portfolio optimization under transaction costs in the CRR model
• Impulsive control of portfolios
• On the optimality of joint periodic and extraordinary dividend strategies
• The state of financial modelling in 2012, as shaped by the GFC
• Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
• Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities

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