Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach (Q6671993): Difference between revisions

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scientific article; zbMATH DE number 7975434

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English	Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach	scientific article; zbMATH DE number 7975434

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instance of

scholarly article

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title

Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach (English)

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Applied Mathematical Finance

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publication date

27 January 2025

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MaRDI profile type

Publication

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cites work

A discrete-time Clark-Ocone formula and its application to an error analysis

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Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs

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Dynamic asset allocation in a mean-variance framework

0 references

Robust multiperiod portfolio management in the presence of transaction costs

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An algorithm for portfolio optimization with variable transaction costs. I: Theory

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Optimal Portfolio Selection with Transaction Costs

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Multi-period portfolio optimization with linear control policies

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Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation

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Multiperiod Consumption and Investment Behavior with Convex Transactions Costs

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Optimal multi-period mean-variance policy under no-shorting constraint

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Continuous-Time Markowitz's Model with Transaction Costs

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Portfolio Selection with Transaction Costs

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Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems

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Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’

0 references

Portfolio optimization with transaction costs: a two-period mean-variance model

0 references

Investment Strategies under Transaction Costs: The Finite Horizon Case

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Optimal rebalancing of portfolios with transaction costs

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Dual Pricing of American Options by Wiener Chaos Expansion

0 references

Optimal dynamic portfolio selection: multiperiod mean-variance formulation

0 references

Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks

0 references

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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Portfolio optimization with linear and fixed transaction costs

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OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS

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MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS

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Q4842684

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Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

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Optimal mean-variance portfolio selection

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A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs

0 references

Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint

0 references

A Minimum Variance Result in Continuous Trading Portfolio Optimization

0 references

Markowitz revisited: mean-variance models in financial portfolio analysis

0 references

A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees

0 references

Multi-period mean-variance portfolio selection with fixed and proportional transaction costs

0 references

Mean-variance portfolio optimal problem under concave transaction cost

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THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Identifiers

DOI

10.1080/1350486x.2024.2357200

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Mathematics Subject Classification ID

91Gxx

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zbMATH DE Number

7975434

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Sitelinks

Mathematics(1 entry)

mardi Publication:6671993

@@ Property / cites work @@
+A discrete-time Clark-Ocone formula and its application to an error analysis
+Normal rank
@@ Property / cites work @@
+Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Dynamic asset allocation in a mean-variance framework
+Normal rank
@@ Property / cites work @@
+Robust multiperiod portfolio management in the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+An algorithm for portfolio optimization with variable transaction costs. I: Theory
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Selection with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Multi-period portfolio optimization with linear control policies
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
+Normal rank
@@ Property / cites work @@
+Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
+Normal rank
@@ Property / cites work @@
+Optimal multi-period mean-variance policy under no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Continuous-Time Markowitz's Model with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems
+Normal rank
@@ Property / cites work @@
+Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with transaction costs: a two-period mean-variance model
+Normal rank
@@ Property / cites work @@
+Investment Strategies under Transaction Costs: The Finite Horizon Case
+Normal rank
@@ Property / cites work @@
+Optimal rebalancing of portfolios with transaction costs
+Normal rank
@@ Property / cites work @@
+Dual Pricing of American Options by Wiener Chaos Expansion
+Normal rank
@@ Property / cites work @@
+Optimal dynamic portfolio selection: multiperiod mean-variance formulation
+Normal rank
@@ Property / cites work @@
+Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with linear and fixed transaction costs
+Normal rank
@@ Property / cites work @@
+OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Q4842684
@@ Property / cites work: Q4842684 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance portfolio selection
@@ Property / cites work: Optimal mean-variance portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+A Minimum Variance Result in Continuous Trading Portfolio Optimization
+Normal rank
@@ Property / cites work @@
+Markowitz revisited: mean-variance models in financial portfolio analysis
+Normal rank
@@ Property / cites work @@
+A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio optimal problem under concave transaction cost
+Normal rank
@@ Property / cites work @@
+THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank