An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
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Publication:990425
DOI10.1016/J.AMC.2007.02.100zbMATH Open1193.91137OpenAlexW2063484398MaRDI QIDQ990425FDOQ990425
Authors: U. Jin Choi, Bong-Gyu Jang, Hyeng Keun Koo 
Publication date: 1 September 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2007.02.100
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Cites Work
- Title not available (Why is that?)
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
- Optimal investment and consumption with transaction costs
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- Randomization and the American put
Cited In (8)
- Expected value multiobjective portfolio rebalancing model with fuzzy parameters
- A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
- Diversified portfolios with different entropy measures
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Portfolio rebalancing model using multiple criteria
- Portfolio rebalancing model with transaction costs using interval optimization
- Random credibilitic portfolio selection problem with different convex transaction costs
- Uncertain portfolio adjusting model using semiabsolute deviation
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