Optimal trading strategies with transaction costs paid only for the first stock

MaRDI QIDQ3604045zbMATH OpenFDO

Authors Petr Dostal

Publication date 24 February 2009

Full work available at URL https://eudml.org/doc/246334

Mathematics Subject Classification ID

Recommendations

• Balancing small transaction costs with loss of optimal allocation in dynamic stock trading strategies
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Asymptotics for fixed transaction costs
• Characterization of optimal strategy for multiasset investment and consumption with transaction costs
• Trading regions under proportional transaction costs

Cited in

(4)

• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
• Balancing small transaction costs with loss of optimal allocation in dynamic stock trading strategies
• Optimal trading of a security when there are taxes and transaction costs
• Admissible Trading Strategies Under Transaction Costs

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