A geometric approach to portfolio optimization in models with transaction costs
نویسندگان
چکیده
We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraintswhich includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation.
منابع مشابه
Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs
Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolio managers is also considered in this paper. The proposed method of this paper is formulated in ...
متن کاملSingle Period Portfolio Optimization with Fuzzy Transaction Costs
Abstract: This paper is concerned with the single period portfolio that consists of holdings in n risky assets. The goal is to choose the optimal portfolio to maximize the expected value of the end of period wealth in the presence of transaction costs, while satisfying a set of constraints on the portfolio. The case of a portfolio optimization problem with fuzzy transaction costs is considered....
متن کاملMULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION
In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...
متن کاملA Mean-Variance Model for Optimal Portfolio Selection with Transaction Costs
On the basis of Markowitz mean-variance framework, a new optimal portfolio selection approach is presented. The portfolio selection model proposed in the approach includes the expected return, the risk, and especially a quadratic type transaction cost of a portfolio. Using this model may yield an optimal portfolio solution that maximizes return, and minimizes risk, as well as also minimizes tra...
متن کاملDynamic portfolio management with transaction costs
We develop a recurrent reinforcement learning (RRL) system that directly induces portfolio management policies from time series of asset prices and indicators, while accounting for transaction costs. The RRL approach learns a direct mapping from indicator series to portfolio weights, bypassing the need to explicitly model the time series of price returns. The resulting policies dynamically opti...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Finance and Stochastics
دوره 8 شماره
صفحات -
تاریخ انتشار 2004