Transactions costs and portfolio choice in a discrete-continuous-time setting

DOI10.1016/0165-1889(90)90004-ZzbMath0715.90017OpenAlexW2016930922MaRDI QIDQ751956

Tong-Sheng Sun, J. Darrell Duffie

Publication date: 1990

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(90)90004-z

zbMATH Keywords

transaction costsportfolio choice

Mathematics Subject Classification ID

Related Items (27)

On the use of optimization models for portfolio selection: A review and some computational results ⋮ Malliavin method for optimal investment in financial markets with memory ⋮ Portfolio choice under transitory price impact ⋮ SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS ⋮ A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT ⋮ Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations ⋮ Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? ⋮ Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs ⋮ Investors' preference for a positive tax rate depends on the level of the interest rate ⋮ Optimal consumption-portfolio policies: A convergence from discrete to continuous time models ⋮ RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT ⋮ Optimal attention and heterogeneous precautionary saving behavior ⋮ Dynamic market participation and endogenous information aggregation ⋮ Zero-level pricing method with transaction cost ⋮ Arbitrage and viability in securities markets with fixed trading costs ⋮ Liquidity premium in the presence of stock market crises and background risk ⋮ An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes ⋮ Financial markets with endogenous transaction costs ⋮ Liquidity shocks and equilibrium liquidity premia. ⋮ A computational scheme for optimal investment - consumption with proportional transaction costs ⋮ Dynamic optimal decision making for manufacturers with limited attention based on sparse dynamic programming ⋮ Optimal Consumption and Sale Strategies for a Risk Averse Agent ⋮ MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS ⋮ OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS ⋮ OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS ⋮ PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL ⋮ Unnamed Item

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
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