A computational scheme for optimal investment - consumption with proportional transaction costs

DOI10.1016/j.jedc.2006.04.005zbMath1201.91189OpenAlexW2025865698MaRDI QIDQ1017027

Kumar Muthuraman

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.04.005

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlportfolio optimizationtransaction costsfree boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (12)

Leverage management in a bull-bear switching market ⋮ Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation ⋮ Asymptotic analysis of long‐term investment with two illiquid and correlated assets ⋮ Bayesian nonparametric portfolio selection with rolling maximum drawdown control ⋮ SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS ⋮ Primal-dual methods for the computation of trading regions under proportional transaction costs ⋮ Multi-period portfolio management and a simple method for calculating the realized return with transaction costs ⋮ Optimal investment in the foreign exchange market with proportional transaction costs ⋮ Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns ⋮ MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS ⋮ A cost-effective approach to portfolio construction with range-based risk measures ⋮ On discrete probability approximations for transaction cost problems

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• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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