Asymptotic analysis for target asset portfolio allocation with small transaction costs

DOI10.1016/J.INSMATHECO.2015.10.014MaRDI QIDQ903330zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2133124 (Why is no real title available?)
• Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
• Asymptotic analysis of optimal investment and consumption with transaction costs.
• Asymptotics and duality for the Davis and Norman problem
• Handbook of Insurance
• Instantaneous Control of Brownian Motion
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Optimal investment and consumption with transaction costs
• Optimal tracking for asset allocation with fixed and proportional transaction costs
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Portfolio Selection with Transaction Costs
• Super contact and related optimality conditions
• The preferability of investment through a mutual fund
• Transaction costs, trading volume, and the liquidity premium

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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