Optimal rebalancing of portfolios with transaction costs

DOI10.1080/17442508.2011.651219zbMath1285.91118OpenAlexW2168422934MaRDI QIDQ5411910

Helge Holden, Lars Holden

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.651219

zbMATH Keywords

portfolio optimizationtransaction costsutility functionno-trade regionrebalance portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio management with transaction costs
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
• On an Investment-Consumption Model with Transaction Costs
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Portfolio Selection with Transaction Costs

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