MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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Cites work
- scientific article; zbMATH DE number 4033243 (Why is no real title available?)
- scientific article; zbMATH DE number 1181255 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- A Numerical Method for Solving Singular Stochastic Control Problems
- A computational scheme for optimal investment - consumption with proportional transaction costs
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Numerical schemes for investment models with singular transactions
- On an Investment-Consumption Model with Transaction Costs
- Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio selection with transactions costs
- Transactions costs and portfolio choice in a discrete-continuous-time setting
Cited in
(47)- Analysis of the rebalancing frequency in log-optimal portfolio selection
- Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- On discrete probability approximations for transaction cost problems
- Primal-dual active set method for pricing American better-of option on two assets
- Asymptotics for fixed transaction costs
- Portfolio Choice with Transaction Costs: A User’s Guide
- SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
- Optimal rebalancing of portfolios with transaction costs
- An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
- Optimal rebalancing frequencies for multidimensional portfolios
- Portfolio selection with transaction costs under expected shortfall constraints
- Investing with liquid and illiquid assets
- Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
- Technical note: A robust perspective on transaction costs in portfolio optimization
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- A multi-asset investment and consumption problem with transaction costs
- Valuing switching options with the moving-boundary method
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Optimal trading strategies -- a time series approach
- Asymptotic analysis of long‐term investment with two illiquid and correlated assets
- Solving impulse-control problems with control delays
- Dynamic portfolio optimization with transaction costs and state-dependent drift
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
- A computational scheme for optimal investment - consumption with proportional transaction costs
- High dimensional mean-variance optimization through factor analysis
- Unified asymptotics for investment under illiquidity: transaction costs and search frictions
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
- Multi-asset portfolio selection problem with transaction costs
- Primal-dual methods for the computation of trading regions under proportional transaction costs
- Futures trading with transaction costs
- Optimal consumption and investment with fixed and proportional transaction costs
- Optimal investment in the foreign exchange market with proportional transaction costs
- High-dimensional portfolio optimization with transaction costs
- Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
- Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
- Optimal investment in an illiquid market with search frictions and transaction costs
- Nonlinear Parabolic Equations Arising in Mathematical Finance
- Synergy effect of cooperative investment
- Large scale portfolio optimization with piecewise linear transaction costs
- A unified approach to portfolio optimization with linear transaction costs
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs
- A moving boundary approach to American option pricing
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