Optimal tracking for asset allocation with fixed and proportional transaction costs

DOI10.1080/14697680400000027MaRDI QIDQ4610230zbMATH OpenOpenAlexFDO

Authors Stanley R. Pliska, Kiyoshi Suzuki

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680400000027

zbMATH Keywords

asset allocationoptimal trackingtransaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3744982 (Why is no real title available?)
• scientific article; zbMATH DE number 3287297 (Why is no real title available?)
• Multi-asset portfolio selection problem with transaction costs
• On an Investment-Consumption Model with Transaction Costs
• Optimal Central Bank intervention in the foreign exchange market
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• Optimal investment and consumption with transaction costs
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Portfolio Selection with Transaction Costs
• Risk sensitive asset management with transaction costs
• Some applications of impulse control in mathematical finance
• Stochastic Cash Management with Fixed and Proportional Transaction Costs

Cited in

(9)

• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
• Smooth investment
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• A methodology for index tracking based on time-series clustering
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• Asymptotic analysis for target asset portfolio allocation with small transaction costs

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