Optimal Portfolio Selection with Transaction Costs

DOI10.1080/10920277.1997.10595602zbMath1080.91516OpenAlexW2296613601WikidataQ56778369 ScholiaQ56778369MaRDI QIDQ5718252

Phelim P. Boyle, Xiaodong Lin

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.1997.10595602

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Multi-period portfolio management and a simple method for calculating the realized return with transaction costs ⋮ A BSDE approach to risk-based asset allocation of pension funds with regime switching ⋮ A unified approach to portfolio optimization with linear transaction costs ⋮ Investing for Retirement ⋮ Asset allocation with distorted beliefs and transaction costs ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint ⋮ Optimal consumption and investment problem with random horizon in a BMAP model

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