Long time growth optimal portfolio with transaction costs

MaRDI QIDQ3400720zbMATH OpenFDO

Authors Łukasz Stettner

Publication date 5 February 2010

zbMATH Keywords

Markov processtransaction costsBellman equationgrowth of portfoliolong term portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• Growth-optimal portfolios under transaction costs
• Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
• Maximization of the portfolio growth rate under fixed and proportional transaction costs
• Optimal portfolio selection under vanishing fixed transaction costs

Cited in

(8)

• Growth-optimal portfolios under transaction costs
• Almost surely optimal portfolios under proportional transaction costs
• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
• Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
• scientific article; zbMATH DE number 2196467 (Why is no real title available?)
• Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
• GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
• Growth Optimal Investment with Transaction Costs

This page was built for publication: Long time growth optimal portfolio with transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3400720)