Multi-period portfolio management and a simple method for calculating the realized return with transaction costs

DOI10.1007/S10958-022-06129-8MaRDI QIDQ6159094zbMATH OpenOpenAlexFDO

Authors M. S. Al-Nator, S. V. Al-Nator

Publication date 1 June 2023

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-022-06129-8

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A computational scheme for optimal investment - consumption with proportional transaction costs
• Building an optimal portfolio in discrete time in the presence of transaction costs
• Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
• Investment Strategies under Transaction Costs: The Finite Horizon Case
• Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
• Multi-period portfolio selection for asset-liability management with uncertain investment horizon
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Note—Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income
• On an Investment-Consumption Model with Transaction Costs
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal Portfolio Revision with a Proportional Transaction Cost
• Optimal Portfolio Selection with Transaction Costs
• OPTIMAL PORTFOLIO SELECTION WITH TRANSACTION COSTS WHEN AN ILLIQUID ASSET PAYS CASH DIVIDENDS
• Portfolio analysis with general commission
• Portfolio analysis with transaction costs under uncertainty
• Portfolio Optimization and Performance Analysis
• Portfolio optimization with linear and fixed transaction costs
• Portfolio Selection with Transaction Costs
• Quadratic programming with transaction costs
• Robust multiperiod portfolio management in the presence of transaction costs

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