Dynamic portfolio optimization with transaction costs and state-dependent drift

DOI10.1016/J.EJOR.2014.12.040zbMath1346.91217OpenAlexW2094216724WikidataQ57949117 ScholiaQ57949117MaRDI QIDQ319244

Jan Palczewski, Huamao Wang, Rolf Poulsen, Klaus Reiner Schenk-Hoppé

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://eprints.whiterose.ac.uk/83104/1/PPSHW_2014_12_16-EJOR-Revision.pdf

zbMATH Keywords

dynamic programmingnumerical methodstransaction costsMarkov chain approximationstate-dependent drift

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (7)

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties ⋮ Asset allocation with correlation: a composite trade-off ⋮ Algorithmic trading for online portfolio selection under limited market liquidity ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Singular stochastic control model for algae growth management in dam downstream ⋮ Massively parallel processing of recursive multi-period portfolio models

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