A unified approach to portfolio optimization with linear transaction costs

DOI10.1007/s00186-005-0005-9zbMath1109.91031OpenAlexW2165648616MaRDI QIDQ2433238

Valeri I. Zakamouline

Publication date: 27 October 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0005-9

zbMATH Keywords

computational methodstransaction costsportfolio choicestochastic impulse controlstochastic singular control

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Optimal stochastic control (93E20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (7)

Dynamic portfolio optimization with transaction costs and state-dependent drift ⋮ Primal-dual methods for the computation of trading regions under proportional transaction costs ⋮ Dynamic liquidation under market impact ⋮ A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) ⋮ Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ Consuming durable goods when stock markets jump: a strategic asset allocation approach

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