Multi-period Optimal Portfolio Decision with Transaction Costs and HARA Utility Function
نویسندگان
چکیده
Portfolio selection problem is one of the core research fields in modern financial management. While considering the transaction costs in the long term investment makes the portfolio selection problems more complex than there are no transaction costs. In this paper, the general multi-period investment problems with HARA utility function and proportional transaction costs are investigated. By using the dynamic programming method, the indirect utility function is defined for solving the portfolio selection problem. The optimal strategies and the boundary of the no-transaction region are obtained in the explicit form. And the procedure for solving the original portfolio selection problem is given. Numerical example shows the feasibility and effectiveness of the method provided in this paper.
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