Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
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Publication:3068621
DOI10.1137/07070334XzbMath1203.91322MaRDI QIDQ3068621
Daniel N. Ostrov, Jonathan B. Goodman
Publication date: 17 January 2011
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
asymptoticsportfolio optimizationtransaction costsoblique boundary conditionscost minimizationgeneral utility function
Initial-boundary value problems for second-order parabolic equations (35K20) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) Portfolio theory (91G10)
Related Items (10)
General indifference pricing with small transaction costs ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case ⋮ OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs ⋮ Asymptotics for fixed transaction costs ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
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