Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part I

Research Article Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs---Part I

This is the first of the two companion papers which treat 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 pro...

Research Article Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs---Part II

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 ma...

Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs

Portfolio Optimization with Discrete Proportional Transaction Costs under Stochastic Volatility

This paper is devoted to evaluating the optimal self-financing portfolio and the optimal trading frequency on a risky and risk-free asset to maximize the expected future utility of the terminal wealth in a stochastic volatility setting, when proportional transaction costs are incurred at each discrete trading time. The HARA utility function is used, allowing a simple approximation of the optimi...

Portfolio Optimization Under Fixed Transaction Costs