Optimal impulse control of a portfolio with a fixed transaction cost

DOI10.1007/S10100-013-0304-9MaRDI QIDQ301216zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1897413 (Why is no real title available?)
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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
• On the optimality of joint periodic and extraordinary dividend strategies
• Impulsive control of portfolios
• 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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