Optimal Portfolio Revision with a Proportional Transaction Cost

DOI10.1287/MNSC.21.11.1263zbMATH0314.90007OpenAlexW2067268581MaRDI QIDQ4074604FDOQ4074604

Authors Jules H. Kamin

Publication date 1975

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.21.11.1263

Mathematics Subject Classification ID

Decision theory (91B06)

Cited in

(7)

• Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
• Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
• Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
• Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
• Numeraire portfolios and utility-based price systems under proportional transaction costs
• Optimal Portfolio Selection with Transaction Costs
• Fuzzy multi-period portfolio selection model with discounted transaction costs

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