MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS

DOI10.1111/j.1467-9965.2006.00273.xzbMath1145.91352MaRDI QIDQ5488977

Sunil Kumar, Kumar Muthuraman

Publication date: 25 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00273.x

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; free boundary problem; stochastic control; portfolio optimization; transaction costs

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

35R35: Free boundary problems for PDEs

91G10: Portfolio theory

Related Items

Analysis of the rebalancing frequency in log-optimal portfolio selection, A computational scheme for optimal investment - consumption with proportional transaction costs, Portfolio selection with transaction costs under expected shortfall constraints, A moving boundary approach to American option pricing, SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS, Optimization ofN-risky asset portfolios with stochastic variance and transaction costs, ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

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