Optimal portfolio policies under fixed and proportional transaction costs

DOI10.1239/aap/1165414586zbMath1148.91018OpenAlexW2139901562MaRDI QIDQ3417911

Jörn Sass, Albrecht Irle

Publication date: 31 January 2007

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1165414586

zbMATH Keywords

portfolio optimizationtransaction costimpulse controlasymptotic growth ratefixed costproportional cost

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (9)

Primal-dual methods for the computation of trading regions under proportional transaction costs ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs ⋮ Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS ⋮ Impulse control and expected suprema ⋮ Optimal portfolio selection under vanishing fixed transaction costs ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case ⋮ Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

Cites Work

• Unnamed Item
• Unnamed Item
• Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
• Portfolio selection with transactions costs
• Optimal investment and consumption with transaction costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Portfolio optimization under transaction costs in the CRR model
• A geometric approach to portfolio optimization in models with transaction costs
• Risk sensitive asset management with transaction costs
• Impulse control of one-dimensional ito diffusions with an expected and a pathwise ergodic criterion
• Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Optimal Impulse Control of Portfolios
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• On an Investment-Consumption Model with Transaction Costs
• Portfolio Selection with Transaction Costs

This page was built for publication: Optimal portfolio policies under fixed and proportional transaction costs