Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs

DOI10.1239/aap/1222868181zbMath1151.91055OpenAlexW2027035993MaRDI QIDQ3535648

Takashi Tamura

Publication date: 13 November 2008

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1222868181

zbMATH Keywords

portfolio optimizationtransaction costimpulsive controlquasivariational inequality

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Impulsive optimal control problems (49N25)

Related Items (4)

Growth optimal portfolio selection under proportional transaction costs with obligatory diversification ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ Optimal portfolio selection under vanishing fixed transaction costs ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case

Cites Work

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• Asymptotics in quasi-variational inequalities and ergodic control problems
• Risk sensitive asset management with transaction costs
• Maximizing the growth rate of a portfolio with fixed and proportional transaction costs
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• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Optimal portfolio policies under fixed and proportional transaction costs
• On Some Impulse Control Problems with Long Run Average Cost
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Portfolio Selection with Transaction Costs
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