Multi-asset portfolio selection problem with transaction costs

DOI10.1016/0378-4754(93)E0079-KzbMath0830.90006MaRDI QIDQ1897670

Agnès Sulem, Marianne Akian, José Luis Menaldi

Publication date: 4 September 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingvariational inequalityviscosity solutionmultigrid methodstransaction costsportfolio selectionlog-normal diffusionsoptimal consumption and investment policy

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items

Malliavin method for optimal investment in financial markets with memory, A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures, Optimal tracking for asset allocation with fixed and proportional transaction costs, A multi-asset investment and consumption problem with transaction costs, OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection with transactions costs
• Introduction to the mathematical theory of control processes. Vol. II:Nonlinear processes
• An Optimal Investment/Consumption Model with Borrowing
• Numerical Methods for an Optimal Investment-Consumption Model
• User’s guide to viscosity solutions of second order partial differential equations
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
• Optimal Investment and Consumption With Two Bonds and Transaction Costs¹
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Portfolio Selection with Transaction Costs
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