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Intertemporal portfolio optimization with small transaction costs and stochastic variance

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  • C. Atkinson
  • S. Mokkhavesa

Abstract

The solution to the intertemporal optimal portfolio selection and consumption rule with small transaction costs is derived via the use of perturbation analysis for the two assets portfolio, one risky and one riskfree. This methodology allows us to apply a broader specification for the function of utility. The additional feature of stochastic variance is also included.

Suggested Citation

  • C. Atkinson & S. Mokkhavesa, 2003. "Intertemporal portfolio optimization with small transaction costs and stochastic variance," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(4), pages 267-302.
    • Handle: RePEc:taf:apmtfi:v:10:y:2003:i:4:p:267-302
    DOI: 10.1080/1350486032000141011
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    Cited by:

    1. Chellathurai, Thamayanthi & Draviam, Thangaraj, 2007. "Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2168-2195, July.
    2. Siu Lung Law & Chiu Fan Lee & Sam Howison & Jeff N. Dewynne, 2007. "Correlated multi-asset portfolio optimisation with transaction cost," Papers 0705.1949, arXiv.org, revised May 2009.

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