Asymptotic analysis for target asset portfolio allocation with small transaction costs

DOI10.1016/J.INSMATHECO.2015.10.014zbMATH Open1348.91258OpenAlexW2179553222MaRDI QIDQ903330FDOQ903330

Authors: Cong Liu, Harry Zheng 

Publication date: 5 January 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/30823

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zbMATH Keywords

asymptotic analysisproportional transaction coststracking errorMagnus expansiontarget asset portfolio allocation

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

• Portfolio Selection with Transaction Costs
• Optimal investment and consumption with transaction costs
• Handbook of Insurance
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Asymptotics and duality for the Davis and Norman problem
• Transaction costs, trading volume, and the liquidity premium
• The preferability of investment through a mutual fund
• Asymptotic analysis of optimal investment and consumption with transaction costs.
• Super contact and related optimality conditions
• Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
• Title not available (Why is that?)
• Instantaneous Control of Brownian Motion
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Optimal tracking for asset allocation with fixed and proportional transaction costs

Cited In (4)

• Optimal tracking for asset allocation with fixed and proportional transaction costs
• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
• Smooth investment
• A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios

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