An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes

DOI10.1016/J.AMC.2007.02.100MaRDI QIDQ990425zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundaryoptimal consumptionoptimal investmenttransaction costrandom lifetime

Mathematics Subject Classification ID

Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cites work

• scientific article; zbMATH DE number 45971 (Why is no real title available?)
• Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Randomization and the American put
• Transactions costs and portfolio choice in a discrete-continuous-time setting

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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