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
Recommendations
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- Portfolio optimization and stochastic volatility asymptotics
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- scientific article; zbMATH DE number 1336607
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
- Portfolio optimization under the stochastic elasticity of variance
- Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs
stochastic controltransaction coststrading strategiesquantitative financehedging with utility based preferences
Portfolio theory (91G10) Stochastic programming (90C15) Utility theory (91B16) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Optimum consumption and portfolio rules in a continuous-time model
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Portfolio Selection with Transaction Costs
- Optimal investment and consumption with transaction costs
- Portfolio management with transaction costs
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Portfolio selection with transactions costs
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
- On an Investment-Consumption Model with Transaction Costs
- Multi‐asset portfolio optimization with transaction cost
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Super contact and related optimality conditions
- A simplified treatment of the theory of optimal regulation of Brownian motion
- PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
- On a free boundary problem that arises in portfolio management
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
- Perturbation solution of optimal portfolio theory with transaction costs for any utility function
Cited In (14)
- Title not available (Why is that?)
- Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis
- Should Stochastic Volatility Matter to the Cost‐Constrained Investor?
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Multi‐asset portfolio optimization with transaction cost
- Title not available (Why is that?)
- The efficient frontier and optimal strategies of mutual funds
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Title not available (Why is that?)
- Title not available (Why is that?)
- Random credibilitic portfolio selection problem with different convex transaction costs
- Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
This page was built for publication: Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3568909)
