Portfolio management with transaction costs

DOI10.1098/rspa.1997.0030zbMath0873.90007OpenAlexW2128759005MaRDI QIDQ3128395

Paul Wilmott, Stanley R. Pliska, Colin Atkinson

Publication date: 16 April 1997

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.1997.0030

zbMATH Keywords

portfolio managementoptimal trading strategy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (13)

Towards the determination of utility preference from optimal portfolio selections ⋮ Unnamed Item ⋮ SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS ⋮ Investors' preference for a positive tax rate depends on the level of the interest rate ⋮ Optimization ofN-risky asset portfolios with stochastic variance and transaction costs ⋮ Optimal rebalancing of portfolios with transaction costs ⋮ A computational scheme for optimal investment - consumption with proportional transaction costs ⋮ Portfolio selection with transaction costs under expected shortfall constraints ⋮ On an investment-consumption model with transaction costs: an asymptotic analysis ⋮ Wavelet evolutionary network for complex-constrained portfolio rebalancing ⋮ On discrete probability approximations for transaction cost problems ⋮ OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS ⋮ Pricing a European Basket Option in the Presence of Proportional Transaction Costs

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