Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs

DOI10.1080/1350486X.2011.620775zbMath1372.91094WikidataQ60171456 ScholiaQ60171456MaRDI QIDQ5363201

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Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingdiscrete timeperturbation analysisportfolio optimizationtransaction costs

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (3)

Resource allocation with stochastic optimal control approach ⋮ Multi-period portfolio management and a simple method for calculating the realized return with transaction costs ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis

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