Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.

DOI10.1007/S001860400359zbMATH Open1091.91035OpenAlexW2021837367MaRDI QIDQ703140FDOQ703140

Authors: Ralf Korn 

Publication date: 11 January 2005

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860400359

Recommendations

• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Portfolio Choice with Transaction Costs: A User’s Guide
• Portfolio management with transaction costs
• Transactions costs and portfolio choice in a discrete-continuous-time setting
• Risk sensitive asset management with transaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cited In (5)

• Discrete-time delta hedging and the Black-Scholes model with transaction costs
• Continuous-time mean-variance portfolios: a comparison
• Optimal investment and consumption with transaction costs
• Optimal portfolio policies under fixed and proportional transaction costs
• A unified approach to portfolio optimization with linear transaction costs

This page was built for publication: Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q703140)