Optimal Index Tracking Under Transaction Costs and Impulse Control

DOI10.1142/S0219024998000187zbMath0909.90020MaRDI QIDQ4216117

Ralf Korn, Ian R. C. Buckley

Publication date: 28 December 1998

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

zbMATH Keywords

impulse controlcash management

Mathematics Subject Classification ID

Related Items (13)

An optimal time-management policy for labor supply and consumption decisions ⋮ OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ Optimal tracking for asset allocation with fixed and proportional transaction costs ⋮ An approximation scheme for impulse control with random reaction periods ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ Optimizing venture capital investments in a jump diffusion model ⋮ An efficient optimization approach for a cardinality-constrained index tracking problem ⋮ An evolutionary heuristic for the index tracking problem. ⋮ A hybrid optimization approach to index tracking ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case ⋮ Optimal Central Bank intervention in the foreign exchange market

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Impulse Control of Brownian Motion
• Optimal Impulse Control When Control Actions Have Random Consequences
• Impulse Control Method and Exchange Rate
• Portfolio Selection with Transaction Costs

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