Finite-Horizon Optimal Investment with Transaction Costs: Construction of the Optimal Strategies

2015 ◽  
Author(s):  
Christoph Belak ◽  
Joern Sass
Keyword(s):  
Transaction Costs ◽  
Optimal Strategies ◽  
Optimal Investment ◽  
Finite Horizon

scholarly journals GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS

2004 ◽  
Vol 07 (05) ◽  
pp. 645-657 ◽  
Author(s):  
ERIK AURELL ◽  
PAOLO MURATORE-GINANNESCHI
Keyword(s):  
Transaction Costs ◽  
Finite Time ◽  
Optimal Strategy ◽  
Time Horizon ◽  
Optimal Strategies ◽  
Optimal Investment ◽  
Market Model ◽  
Time Investment ◽  
Bond Portfolio ◽  
Finite Time Horizon

We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon.

Finite Horizon Optimal Investment and Consumption with Transaction Costs

2009 ◽  
Vol 48 (2) ◽  
pp. 1134-1154 ◽  
Author(s):  
Min Dai ◽  
Lishang Jiang ◽  
Peifan Li ◽  
Fahuai Yi
Keyword(s):  
Transaction Costs ◽  
Optimal Investment ◽  
Finite Horizon ◽  
Optimal Investment And Consumption
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