Perturbation solution of optimal portfolio theory with transaction costs for any utility function

DOI10.1093/IMAMAN/13.2.131zbMath1086.91032OpenAlexW2029641792WikidataQ60171495 ScholiaQ60171495MaRDI QIDQ4814181

Sutee Mokkhavesa, Colin Atkinson

Publication date: 7 September 2004

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/13.2.131

zbMATH Keywords

Portfoliotransaction costgeneral utility function

Mathematics Subject Classification ID

Related Items (5)

LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ Unnamed Item ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis ⋮ Optimization ofN-risky asset portfolios with stochastic variance and transaction costs ⋮ On discrete probability approximations for transaction cost problems

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