Optimal portfolio policies under fixed and proportional transaction costs

被引：5

作者：

Mathematisches Seminar, University of Kiel, Ludwig-Meyn-Strasse 4, D-24098 Kiel, Germany ^{[1
]}

不详 ^{[2
]}

机构：

[1] Mathematisches Seminar, University of Kiel, D-24098 Kiel

[2] RICAM, Austrian Academy of Sciences, A-4040 Linz

来源：

Adv Appl Probab | 2006年 / 4卷 / 916-942期

关键词：

Asymptotic growth rate; Fixed cost; Impulse control; Portfolio optimization; Proportional cost; Transaction cost;

D O I：

10.1239/aap/1151337074

中图分类号：

学科分类号：

摘要：

We consider the portfolio optimization problem of maximizing the asymptotic growth rate under a combination of fixed and proportional costs. Expressing the asymptotic growth rate in terms of the risky fraction process, the problem can be transformed to that of controlling a diffusion in one dimension. Then we use the corresponding quasivariational inequalities to obtain the explicit shape together with the existence of an optimal impulse control strategy. This optimal strategy is given by only four parameters: two for the stopping boundaries and two for the new risky fractions the investor chooses at these times. © Applied Probability Trust 2006.

引用

页码：916 / 942

页数：26

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