scholarly journals AN OPTIMAL CONTROL FORMULATION OF PORTFOLIO SELECTION PROBLEM WITH BULLET TRANSACTION COST

2003 ◽  
Vol 2 (1) ◽  
pp. 25
Author(s):  
E. SYAHRIL
Keyword(s):  
Optimal Control ◽  
Interest Rate ◽  
Continuous Time ◽  
Decision Problem ◽  
Investment Decision ◽  
Transactions Costs ◽  
Time Control ◽  
The Individual ◽  
Riskless Asset ◽  
Total Wealth

This paper formulates a consumption and investment decision problem for an individual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian mo- tion price fluctuations. The individual is supposed to observe his or her current wealth only, when making transactions, that trans- actions incur costs, and that decisions to transact can be made at any time based on all current information. The transactions costs is fixed for every transaction, regardless of amount trans- acted. In addition, the investor is charged a fixed fraction of total wealth as management fee. The investor’s objective is to max- imize the expected utility of consumption over a given horizon. The problem faced by the investor is formulated into a stochastic discrete-continuous-time control problem.

scholarly journals AN INVESTMENT STRATEGY IN PORTFOLIO SELECTION PROBLEM WITH BULLET TRANSACTION COST

2003 ◽  
Vol 2 (2) ◽  
pp. 1
Author(s):  
E. SYAHRIL
Keyword(s):  
Brownian Motion ◽  
Continuous Time ◽  
Decision Problem ◽  
Investment Decision ◽  
Investment Strategy ◽  
Transactions Costs ◽  
Time Control ◽  
The Individual ◽  
Riskless Asset ◽  
Total Wealth

This paper discusses an investment strategy for a con- sumption and investment decision problem for an individual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian motion price fluctuations. The individual observes current wealth when making transactions, that transac- tions incur costs, and that decisions to transact can be made at any time based on all current information. The transactions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction of total wealth as management fee. The investor’s objective is to maximize the expected utility of consumption over a given horizon. The prob- lem faced by the investor is formulated in a stochastic discrete- continuous-time control problem. An investment strategy is given for fixed transaction intervals.

scholarly journals AN OPTIMAL TRANSACTION INTERVALS FOR PORTFOLIO SELECTION PROBLEM WITH BULLET TRANSACTION COS

2004 ◽  
Vol 3 (1) ◽  
pp. 11
Author(s):  
E. SYAHRIL
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Decision Problem ◽  
Investment Decision ◽  
Time Control ◽  
The Individual ◽  
Riskless Asset ◽  
Total Wealth

This paper discusses an optimal transaction interval for a consumption and investment decision problem for an indi- vidual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian motion price fluctuations. The individual observes current wealth when making transactions, that transactions incur costs, and that decisions to transact can be made at any time based on all current information. The trans- actions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction of total wealth as management fee. The investor’s objective is to maximize the expected utility of consumption over a given horizon. The problem faced by the investor is formulated in a stochastic discrete-continuous-time control problem. An optimal transaction interval for the inverstor is derived.

scholarly journals An Optimal Transaction Intervals for Portfolio Selection Problem with Bullet Transaction Cost

2017 ◽  
Author(s):  
SYAHRIL
Keyword(s):  
Interest Rate ◽  
Control Problem ◽  
Transaction Cost ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Investment Decision ◽  
Risky Asset ◽  
Selection Problem ◽  
Transactions Costs ◽  
Time Control

This paper discusses an optimal transaction interval for a consumption and investment decision problemfor an~individual who has available a~risklessasset paying fixed interest rate and a~risky asset driven byBrownian motion price fluctuations.The individual observes current wealth when making transactions, that transactions incur costs,and that decisions to transact can be made at any time based on all current information.The transactions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction oftotal wealth as management fee. The investor's objective is to maximize the expectedutility of consumption over a given horizon.The problem faced by the investor is formulated in a stochastic discrete-continuous-time control problem. An optimal transaction interval for the inverstor is derived.

scholarly journals A Contribution on Stochastic Optimal Control to Quantitative Finance

2018 ◽  
Author(s):  
SYAHRIL
Keyword(s):  
Optimal Control ◽  
Interest Rate ◽  
Nonlinear Equation ◽  
Stochastic Optimal Control ◽  
Investment Decision ◽  
Optimal Solution ◽  
Investment Strategies ◽  
Transactions Costs ◽  
Quantitative Finance ◽  
Total Wealth

This work considers a consumption and investment decision problemfor an~individual who has available a~risklessasset paying fixed interest rate and a~risky asset driven byBrownian motion price fluctuations.The individual is supposed to observe his orher current wealth only, when making transactions, that transactions incur costs,and that decisions to transact can be made at any time based on all current information.The transactions costs under consideration could be a fixed, linear or a nonlinear functionof the amount transacted. In addition, the investor is charged a fixed fraction oftotal wealth as management fee. The investor's objective is to maximize the expectedutility of consumption over a given horizon.On the basis of this model, the existence of an optimal solution is given.Optimal consumption and investment strategies are obtained in closed formfor each type of transaction costs function.In addition, the optimalinterval of time between transactions is also derived.Results show that, for each transaction cost, transaction interval satisfies a nonlinear equation,which depends on total wealth at the beginning of that intervals.If, at each tran-saction, there is no costs involved other than that of management feewhich is a fixed fraction of current portfolio value, then the optimalinterval of time between transactions is fixed, independent of time and currentwealth.

DESIGN OF AN OPTIMAL PREVIEW CONTROLLER FOR CONTINUOUS-TIME SYSTEMS

2011 ◽  
Vol 09 (04) ◽  
pp. 655-673 ◽  
Author(s):  
FUCHENG LIAO ◽  
YUAN YAN TANG ◽  
HEPING LIU ◽  
YUNJIAN WANG
Keyword(s):  
Optimal Control ◽  
Continuous Time ◽  
Design Method ◽  
Original System ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Time Control ◽  
Differentiable Functions ◽  
Continuous Time Systems ◽  
Time Systems

This paper studies the preview control problem for continuous-time control systems. A design method for an optimal preview controller is presented, when the desired tracking and disturbance are piecewise-continuously differentiable functions. Applying the same techniques as for optimal control in linear quadratic optimal control, we derive a type-one servomechanism with both desired tracking preview and disturbance preview compensation. A proof is presented that if the original system is stabilizable and detectable, the closed-loop system is asymptotically stable. We also design a full-dimensional state observer for the considered system. Finally, numerical simulations show the efficiency of the controller.

scholarly journals An optimal control problem of monetary policy

2021 ◽  
Vol 26 (11) ◽  
pp. 5769
Author(s):  
Andrea Bacchiocchi ◽  
Germana Giombini
Keyword(s):  
Optimal Control ◽  
Monetary Policy ◽  
Interest Rate ◽  
Optimal Control Problem ◽  
Continuous Time ◽  
Phillips Curve ◽  
Optimal Monetary Policy ◽  
Trade Off ◽  
Long Run ◽  
The Interest Rate

<p style='text-indent:20px;'>This paper analyses an optimal monetary policy under a non-linear Phillips curve and linear GDP dynamics. A central bank controls the inflation and the GDP trends through the adjustment of the interest rate to prevent shocks and deviations from the long-run optimal targets. The optimal control path for the monetary instrument, the interest rate, is the result of a dynamic minimization problem in a continuous-time fashion. The model allows considering various economic dynamics ranging from hyperinflation to disinflation, sustained growth and recession. The outcomes provide useful monetary policy insights and reveal the dilemma between objectives faced by the monetary authority in trade-off scenarios.</p>

scholarly journals A turnpike theorem for continuous-time control systems when the optimal stationary point is not unique

2003 ◽  
Vol 2003 (11) ◽  
pp. 631-650 ◽  
Author(s):  
Musa A. Mamedov
Keyword(s):  
Optimal Control ◽  
Control Systems ◽  
Continuous Time ◽  
Optimal Control Problems ◽  
Infinite Horizon ◽  
Stationary Points ◽  
Control Problems ◽  
Horizon Problem ◽  
Time Control ◽  
Turnpike Theorem

We study the turnpike property for the nonconvex optimal control problems described by the differential inclusionx˙∈a(x). We study the infinite horizon problem of maximizing the functional∫0Tu(x(t))dtasTgrows to infinity. The turnpike theorem is proved for the case when a turnpike set consists of several optimal stationary points.

Official Advice Improves Mortgage-Holders’ Perceptions of Switching: Experimental Evidence

2019 ◽  
Author(s):  
Shane Timmons
Keyword(s):  
Interest Rate ◽  
Experimental Evidence ◽  
Consumer Protection ◽  
Policy Development ◽  
Switching Process ◽  
Competitive Markets ◽  
Protection Agency ◽  
Change Perceptions ◽  
Before And After ◽  
The Individual

Encouraging consumers to switch to lower-rate mortgages is important both for the individual consumer’s finances and for functioning competitive markets, but switching rates are low. Given the complexity of mortgages, one potential regulatory intervention that may increase switching rates is to provide independent advice on how to select good mortgage products and how to navigate the switching process. Working with a government consumer protection agency, we conducted an experiment with mortgage-holders to test whether such advice alters perceptions of switching. The experiment tested how (i) the attributes of the offer, (ii) perceptions about the switching process, (iii) individual feelings of competence and (iv) comprehension of the product affect willingness to switch to better offers, both before and after reading the official advice. The advice made consumers more sensitive to interest rate decreases, especially at longer terms. It also increased consumers’ confidence in their ability to select good offers. Overall, the findings imply that advice from policymakers can change perceptions and increase switching rates. Moreover, the experiment demonstrates how lab studies can contribute to behaviourally-informed policy development.

Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach

2008 ◽  
Vol 38 (01) ◽  
pp. 231-257 ◽  
Author(s):  
Holger Kraft ◽  
Mogens Steffensen
Keyword(s):  
Continuous Time ◽  
Optimal Solution ◽  
Decision Problems ◽  
Optimal Consumption ◽  
Continuous Time Markov Chain ◽  
Financial Decision Making ◽  
Markov Chain Approach ◽  
Special Cases ◽  
Financial Decision ◽  
The Individual

Personal financial decision making plays an important role in modern finance. Decision problems about consumption and insurance are in this article modelled in a continuous-time multi-state Markovian framework. The optimal solution is derived and studied. The model, the problem, and its solution are exemplified by two special cases: In one model the individual takes optimal positions against the risk of dying; in another model the individual takes optimal positions against the risk of losing income as a consequence of disability or unemployment.

Sign in / Sign up

Export Citation Format

Share Document