A sensitivity-based optimization approach for portfolio optimization with proportional transaction costs

DOI10.13195/J.KZYJC.2013.0597zbMATH Open1313.91143MaRDI QIDQ5498046FDOQ5498046

Authors: Yonghao Huang, Xi Chen 

Publication date: 11 February 2015

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zbMATH Keywords

Markov decision processportfolio optimizationpolicy iterationsensitivity-based approach

Mathematics Subject Classification ID

Portfolio theory (91G10) Markov and semi-Markov decision processes (90C40)

Cited In (3)

• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
• Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs
• Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs

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