Dynamic portfolio optimization with transaction costs and state-dependent drift

DOI10.1016/J.EJOR.2014.12.040MaRDI QIDQ319244zbMATH OpenOpenAlexWikidataFDO

Authors Jan Palczewski, Rolf Poulsen, Klaus R. Schenk-Hoppé, Huamao Wang

Publication date 6 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://eprints.whiterose.ac.uk/83104/1/PPSHW_2014_12_16-EJOR-Revision.pdf

zbMATH Keywords

dynamic programmingMarkov chain approximationnumerical methodsstate-dependent drifttransaction costs

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A unified approach to portfolio optimization with linear transaction costs
• European Option Pricing with Transaction Costs
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• Investment Strategies under Transaction Costs: The Finite Horizon Case
• Mathematical formulas for economists. Translation based on the 5th German edition
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Optimal delta-hedging under transactions costs
• Optimal investment under partial information
• Option pricing with transaction costs using a Markov chain approximation
• Option pricing: A simplified approach
• Primal-dual methods for the computation of trading regions under proportional transaction costs
• Stochastic differential equations. An introduction with applications.
• The Role of Learning in Dynamic Portfolio Decisions *

Cited in

(11)

• Asset allocation with correlation: a composite trade-off
• Massively parallel processing of recursive multi-period portfolio models
• Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
• Algorithmic trading for online portfolio selection under limited market liquidity
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• Singular stochastic control model for algae growth management in dam downstream
• Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
• Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
• First passage times in portfolio optimization: a novel nonparametric approach
• Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
• Markov chain approximation approach to European option pricing in the presence of proportional transaction costs and regime-switching

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