Multi‐asset portfolio optimization with transaction cost

DOI10.1080/13504860410001693496zbMATH Open1106.91319OpenAlexW2043726147WikidataQ60171491 ScholiaQ60171491MaRDI QIDQ4673731FDOQ4673731

Authors: Sutee Mokkhavesa, C. Atkinson 

Publication date: 9 May 2005

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

Full work available at URL: https://doi.org/10.1080/13504860410001693496

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Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (17)

• Optimal asset--liability management with constraints: A dynamic programming approach
• Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
• Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis
• Portfolio Choice with Transaction Costs: A User’s Guide
• Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
• An omega portfolio model with dynamic return thresholds
• A linearized value-at-risk model with transaction costs and short selling
• Characterization of optimal strategy for multiasset investment and consumption with transaction costs
• Perturbation solution of optimal portfolio theory with transaction costs for any utility function
• Hedging under an expected loss constraint with small transaction costs
• Multi-asset portfolio selection problem with transaction costs
• Building an optimal portfolio in discrete time in the presence of transaction costs
• High-dimensional portfolio optimization with transaction costs
• General indifference pricing with small transaction costs
• Large scale portfolio optimization with piecewise linear transaction costs

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