High Order Portfolio Optimization Problem with Transaction Costs

Portfolio Optimization Under Fixed Transaction Costs

An Algorithm for Portfolio Optimization with Transaction Costs

W consider the problem of maximizing an expected utility function of n assets, such as the mean-variance or power-utility function. Associated with a change in an asset’s holdings from its current or target value is a transaction cost. This cost must be accounted for in practical problems. A straightforward way of doing so results in a 3n-dimensional optimization problem with 3n additional cons...

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...

Multi-Period Portfolio Optimization with Constraints and Transaction Costs

We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize the mean-square deviation of final wealth from a given desired value. When there are no additional constraints, this problem can be solved by standard dynamic programming; the optimal trading policy ...

Portfolio Selection with Transaction Costs

In this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account paying a fixed rate of interested a stock whose price is a log-normal diffusion. This problem was solved by Merton and others when transactions between bank and stock are costless. Here we suppose that there are charges on all transactions equal to a fixed pwrcentage of the a...