Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

DOI10.1016/j.jedc.2006.06.006zbMath1163.91385OpenAlexW1989259113MaRDI QIDQ1027357

Thangaraj Draviam, Thamayanthi Chellathurai

Publication date: 1 July 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.2006.06.006

zbMATH Keywords

dynamic portfolio selectionbuy and sell targetsbuy/no transaction interfacefixed and proportional transaction costssell/no transaction interface

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Portfolio theory (91G10)

Related Items (9)

Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation ⋮ Smooth investment ⋮ Multi-period portfolio management and a simple method for calculating the realized return with transaction costs ⋮ Optimal investment-consumption problem: post-retirement with minimum guarantee ⋮ Dynamic liquidation under market impact ⋮ Consuming durable goods when stock markets jump: a strategic asset allocation approach ⋮ Portfolio selection in multidimensional general and partial moment space ⋮ Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate ⋮ Optimal investment strategy post retirement without ruin possibility: a numerical algorithm

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