The portfolio problem under the variable rate of transaction costs

MaRDI QIDQ3523640zbMATH OpenFDO

Authors ChunFang Yang, Peibiao Zhao

Publication date 5 September 2008

Full work available at URL http://pphmj.com/abstract/3145.htm

zbMATH Keywords

jump modelportfoliorate of transaction costs

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Recommendations

• Risk minimization in the model with transaction costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Portfolio management with transaction costs
• Portfolio optimization under transaction costs in the CRR model
• VaR optimal portfolio with transaction costs

Cited in

(1)

• Random credibilitic portfolio selection problem with different convex transaction costs

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