OPTIMAL PORTFOLIO SELECTION WITH TRANSACTION COSTS WHEN AN ILLIQUID ASSET PAYS CASH DIVIDENDS
نویسندگان
چکیده
منابع مشابه
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...
متن کاملPortfolio 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...
متن کاملOptimal Portfolio Selection with Transaction Costs and Finite Horizons
We examine the optimal trading strategy for a CRRA investor who maximizes the expected utility of wealth on a finite date and faces transaction costs. Closed-form solutions are obtained when this date is uncertain. We then show a sequence of analytical solutions converge to the solution to the problem with a deterministic finite horizon. Consistent with the common life-cycle investment advice, ...
متن کاملOptimal Portfolio Selection with Transaction Costs and “ Event Risk ” ∗
In this paper we consider the optimal trading strategy for an investor with an exponentially distributed horizon who invests in a riskless asset and a risky asset. The risky asset is subject to proportional transaction costs and its price follows a jump diffusion. In this situation, the optimal trading strategy is to maintain the fraction of the dollar amount invested in the riskless asset to t...
متن کاملVaR 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...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the Korean Mathematical Society
سال: 2007
ISSN: 0304-9914
DOI: 10.4134/jkms.2007.44.1.139