Multi-dimensional Portfolio Optimization with Proportional Transaction Costs

2004 ◽  
Author(s):  
Kumar Muthuraman ◽  
Sunil Kumar
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Proportional Transaction Costs

scholarly journals Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part II

2007 ◽  
Vol 2007 ◽  
pp. 1-25 ◽  
Author(s):  
Mou-Hsiung Chang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Impulse Control ◽  
Stock Price ◽  
Optimization Problem ◽  
Proportional Transaction Costs ◽  
Infinite Dimensional ◽  
Hereditary Nature ◽  
Portfolio Optimization Problem ◽  
The Value Function

This paper is the continuation of the paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can make transactions between the two assets subject to paying capital-gain taxes as well as a fixed plus proportional transaction cost. The investor is to seek an optimal consumption-trading strategy in order to maximize the expected utility from the total discounted consumption. The portfolio optimization problem is formulated as an infinite dimensional stochastic classical impulse control problem due to the hereditary nature of the stock price dynamics and inventories. This paper contains the verification theorem for the optimal strategy. It also proves that the value function is a viscosity solution of the QVHJBI.

Worst-case portfolio optimization with proportional transaction costs

Stochastics ◽  
2015 ◽  
Vol 87 (4) ◽  
pp. 623-663 ◽  
Author(s):  
Christoph Belak ◽  
Olaf Menkens ◽  
Jörn Sass
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Worst Case ◽  
Proportional Transaction Costs
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