SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
From MaRDI portal
Publication:3502128
DOI10.1111/j.1467-9965.2007.00324.xzbMath1138.91560OpenAlexW3123104873MaRDI QIDQ3502128
Publication date: 22 May 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00324.x
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Free boundary problems for PDEs (35R35) Portfolio theory (91G10) Numerical methods for partial differential equations, boundary value problems (65N99)
Related Items (10)
Solving Impulse-Control Problems with Control Delays ⋮ A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances ⋮ Statistical theory powering data science ⋮ A three-stage optimization algorithm for the stochastic parallel machine scheduling problem with adjustable production rates ⋮ The Impact of Proportional Transaction Costs on Systematically Generated Portfolios ⋮ Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network ⋮ Optimal trading strategies—a time series approach ⋮ Optimal rebalancing of portfolios with transaction costs ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach ⋮ On discrete probability approximations for transaction cost problems
Cites Work
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- A computational scheme for optimal investment - consumption with proportional transaction costs
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Numerical schemes for investment models with singular transactions
- Risk sensitive asset management with transaction costs
- Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Portfolio management with transaction costs
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- On a free boundary problem that arises in portfolio management
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
- On an Investment-Consumption Model with Transaction Costs
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- A diffusion model for the control of a dam
- Portfolio Selection with Transaction Costs
This page was built for publication: SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
