Good portfolio strategies under transaction costs: a renewal theoretic approach

MaRDI QIDQ3511650zbMATH OpenFDO

Authors Albrecht Irle, Jörn Sass

Publication date 11 July 2008

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Renewal theory (60K05)

Recommendations

• Optimal portfolio policies under fixed and proportional transaction costs
• A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Optimal portfolio selection under vanishing fixed transaction costs
• Portfolio management with transaction costs

Cited in

(6)

• Transaction costs and efficiency of portfolio strategies
• Optimal portfolio policies under fixed and proportional transaction costs
• A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets
• Optimal portfolio selection under vanishing fixed transaction costs
• Optimal consumption and investment with fixed and proportional transaction costs
• Growth optimal portfolio selection under proportional transaction costs with obligatory diversification

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