A geometric approach to portfolio optimization in models with transaction costs

DOI10.1007/s00780-003-0114-3zbMath1051.60044OpenAlexW2078360192MaRDI QIDQ1887272

Youri M.Kabanov, Claudia Klüppelberg

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0114-3

zbMATH Keywords

viscosity solutionHJB equationtransaction costsutility functionconsumption-investment problemcurrency market

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (8)

Consumption-investment problem with transaction costs for Lévy-driven price processes ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ A Pseudo-Markov Property for Controlled Diffusion Processes ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem ⋮ Portfolio selection with transaction costs under expected shortfall constraints ⋮ Optimal portfolio policies under fixed and proportional transaction costs

This page was built for publication: A geometric approach to portfolio optimization in models with transaction costs