Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis

DOI10.1080/1350486X.2017.1342551zbMath1398.91544OpenAlexW2738769451MaRDI QIDQ4610209

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Publication date: 6 April 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1342551

zbMATH Keywords

discrete timeperturbation analysisportfolio optimizationtransaction costspower utility function

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (1)

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs

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