Risk-sensitive portfolio optimization with transaction costs

2004 ◽  
Vol 8 (1) ◽  
pp. 39-63 ◽  
Author(s):  
Tomasz Bielecki ◽  
Jean-Philippe Chancelier ◽  
Stanley Pliska ◽  
Agnès Sulem
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Risk Sensitive

Portfolio optimization with transaction costs: a two-period mean-variance model

2014 ◽  
Vol 233 (1) ◽  
pp. 135-156 ◽  
Author(s):  
Ying Hui Fu ◽  
Kien Ming Ng ◽  
Boray Huang ◽  
Huei Chuen Huang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Variance Model ◽  
Mean Variance

scholarly journals Dynamic portfolio optimization with transaction costs and state-dependent drift

2015 ◽  
Vol 243 (3) ◽  
pp. 921-931 ◽  
Author(s):  
Jan Palczewski ◽  
Rolf Poulsen ◽  
Klaus Reiner Schenk-Hoppé ◽  
Huamao Wang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
State Dependent ◽  
Dynamic Portfolio ◽  
Dynamic Portfolio Optimization

scholarly journals A Note on Portfolio Optimization with Quadratic Transaction Costs

2019 ◽  
Author(s):  
Pierre Chen ◽  
Edmond Lezmi ◽  
Thierry Roncalli ◽  
Jiali Xu
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization
Sign in / Sign up

Export Citation Format

Share Document