Optimization ofN-risky asset portfolios with stochastic variance and transaction costs

DOI10.1080/14697680903170791zbMATH Open1195.91141OpenAlexW2071724327WikidataQ60171467 ScholiaQ60171467MaRDI QIDQ3568909FDOQ3568909

Authors Pongsathorn Ingpochai, C. Atkinson

Publication date 16 June 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903170791

zbMATH Keywords

stochastic controltransaction coststrading strategiesquantitative financehedging with utility based preferences

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15) Utility theory (91B16) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites work

• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A simplified treatment of the theory of optimal regulation of Brownian motion
• Intertemporal portfolio optimization with small transaction costs and stochastic variance
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Multi‐asset portfolio optimization with transaction cost
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• On a free boundary problem that arises in portfolio management
• On an Investment-Consumption Model with Transaction Costs
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Perturbation solution of optimal portfolio theory with transaction costs for any utility function
• Portfolio Selection with Transaction Costs
• Portfolio management with transaction costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Portfolio selection with transactions costs
• Stock price distributions with stochastic volatility: an analytic approach
• Super contact and related optimality conditions

Cited in

(18)

• Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
• Portfolio optimization with transaction costs: a two-period mean-variance model
• Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis
• Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
• Random credibilitic portfolio selection problem with different convex transaction costs
• Intertemporal portfolio optimization with small transaction costs and stochastic variance
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• scientific article; zbMATH DE number 5657872 (Why is no real title available?)
• Should Stochastic Volatility Matter to the Cost‐Constrained Investor?
• scientific article; zbMATH DE number 1336607 (Why is no real title available?)
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Dynamic portfolio optimization with transaction costs and state-dependent drift
• Strategic asset allocation for life insurers with stochastic liability
• Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
• The efficient frontier and optimal strategies of mutual funds
• scientific article; zbMATH DE number 5056705 (Why is no real title available?)
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
• Multi‐asset portfolio optimization with transaction cost

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