Optimal impulse control of a portfolio with a fixed transaction cost

Impulse Control and Optimal Portfolio Selection with General Transaction Cost

In this paper we study an optimal portfolio selection problem under general transaction cost. We consider a simplified financial market that consists of a risk free asset and a risky asset, but the admissible portfolios are only allowed to have piecewise constant paths, reflecting a more practical perspective. The problem is then reduced to an impulse control problem with subadditive transactio...

Optimal Portfolio Selection under Vanishing Fixed Transaction Costs

In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the convergence of the model when the fixed costs tend to zero is investigated. A suitable limit model with purely proportional costs is introduced and the convergence of optimal boundaries, asymptotic growth rates, and optim...

VaR optimal portfolio with transaction costs

We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothi...

Optimal Portfolio Selection with Transaction Costs

This paper examines the lifetime portfolio-selection problem in the presence of transaction costs. Using a discrete time approach, we develop analytical expressions for the investor’s indirect utility function and also for the boundaries of the no-transactions region. The economy consists of a single risky asset and a riskless asset. Transactions in the risky asset incur proportional transactio...

Portfolio Optimization Under Fixed Transaction Costs