MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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Publication:5488977
DOI10.1111/J.1467-9965.2006.00273.XzbMATH Open1145.91352OpenAlexW2042506154MaRDI QIDQ5488977FDOQ5488977
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
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free boundary problemHamilton-Jacobi-Bellman equationportfolio optimizationstochastic controltransaction costs
Portfolio theory (91G10) Free boundary problems for PDEs (35R35) Dynamic programming in optimal control and differential games (49L20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Optimal stochastic control (93E20)
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- A Numerical Method for Solving Singular Stochastic Control Problems
- Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
Cited In (45)
- 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
- SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
- Portfolio Choice with Transaction Costs: A User’s Guide
- 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
- 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
- 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
- Asymptotic analysis of long‐term investment with two illiquid and correlated assets
- Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
- 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
- Optimal trading strategies—a time series approach
- Solving Impulse-Control Problems with Control Delays
- 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
- INVESTING WITH LIQUID AND ILLIQUID ASSETS
- Primal-dual methods for the computation of trading regions under proportional transaction costs
- Futures trading with transaction costs
- Optimal investment in the foreign exchange market with proportional transaction costs
- Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
- Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
- 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
- Large scale portfolio optimization with piecewise linear transaction costs
- Synergy effect of cooperative investment
- A unified approach to portfolio optimization with linear transaction costs
- A moving boundary approach to American option pricing
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs
- Analysis of the rebalancing frequency in log-optimal portfolio selection
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