HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS

DOI10.1142/S0219024916500254zbMath1396.91676OpenAlexW2388184368MaRDI QIDQ2814667

Weiwei Shen, Mark N. Broadie

Publication date: 22 June 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500254

zbMATH Keywords

portfolio optimizationtransaction costslower and upper boundsapproximate dynamic programmingvalue function iteration

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (1)

Numerical solutions to dynamic portfolio problems with upper bounds

Cites Work

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