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An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

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Cited by:

  1. Korniotis, George & Bonaparte, Yosef & Kumar, Alok, 2020. "Income Risk and Stock Market Entry/Exit Decisions," CEPR Discussion Papers 15370, C.E.P.R. Discussion Papers.
  2. Florent Gallien & Serge Kassibrakis & Semyon Malamud, 2018. "Hedge or Rebalance: Optimal Risk Management with Transaction Costs," Risks, MDPI, vol. 6(4), pages 1-14, October.
  3. Bruno Biais & Johan Hombert & Pierre-Olivier Weill, 2014. "Equilibrium Pricing and Trading Volume under Preference Uncertainty," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(4), pages 1401-1437.
  4. Shackleton, Mark B. & Tsekrekos, Andrianos E. & Wojakowski, Rafal, 2004. "Strategic entry and market leadership in a two-player real options game," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 179-201, January.
  5. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
  6. Xiaofei Shi & Daran Xu & Zhanhao Zhang, 2021. "Deep Learning Algorithms for Hedging with Frictions," Papers 2111.01931, arXiv.org, revised Dec 2022.
  7. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
  8. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Papers 1501.05381, arXiv.org, revised Oct 2015.
  9. Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky, 2020. "Extended weak convergence and utility maximisation with proportional transaction costs," Finance and Stochastics, Springer, vol. 24(4), pages 1013-1034, October.
  10. Collin-Dufresne, Pierre & Daniel, Kent & Sağlam, Mehmet, 2020. "Liquidity regimes and optimal dynamic asset allocation," Journal of Financial Economics, Elsevier, vol. 136(2), pages 379-406.
  11. Fang, Yong & Chen, Lihua & Fukushima, Masao, 2008. "A mixed R&D projects and securities portfolio selection model," European Journal of Operational Research, Elsevier, vol. 185(2), pages 700-715, March.
  12. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  13. repec:hal:wpaper:hal-04086378 is not listed on IDEAS
  14. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.
  15. Andriy Demchuk, 2002. "Portfolio Optimization with Concave Transaction Costs," FAME Research Paper Series rp103, International Center for Financial Asset Management and Engineering.
  16. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-23, December.
  17. Dokuchaev, Nikolai, 2010. "Optimality of myopic strategies for multi-stock discrete time market with management costs," European Journal of Operational Research, Elsevier, vol. 200(2), pages 551-556, January.
  18. Kourtis, Apostolos, 2014. "On the distribution and estimation of trading costs," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 104-117.
  19. Lorenzo Reus & Frank J. Fabozzi, 2021. "Robust Solutions to the Life-Cycle Consumption Problem," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 481-499, February.
  20. H. Mete Soner & Nizar Touzi, 2012. "Homogenization and asymptotics for small transaction costs," Papers 1202.6131, arXiv.org, revised Jun 2013.
  21. Stefano Baccarin & Daniele Marazzina, 2014. "Optimal impulse control of a portfolio with a fixed transaction cost," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 355-372, June.
  22. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.
  23. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
  24. Barron, Orie E. & Karpoff, Jonathan M., 2004. "Information precision, transaction costs, and trading volume," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1207-1223, June.
  25. Souad Lajili-Jarjir & Yves Rakotondratsimba, 2008. "The number of securities giving the maximum return in the presence of transaction costs," Quality & Quantity: International Journal of Methodology, Springer, vol. 42(5), pages 613-644, October.
  26. Ibrahim Ekren & Johannes Muhle-Karbe, 2017. "Portfolio Choice with Small Temporary and Transient Price Impact," Papers 1705.00672, arXiv.org, revised Apr 2020.
  27. Dokuchaev, Nikolai & Yu Zhou, Xun, 2001. "Optimal investment strategies with bounded risks, general utilities, and goal achieving," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 289-309, April.
  28. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
  29. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, University Library of Munich, Germany.
  30. Longsheng Cheng & Mahboubeh Shadabfar & Arash Sioofy Khoojine, 2023. "A State-of-the-Art Review of Probabilistic Portfolio Management for Future Stock Markets," Mathematics, MDPI, vol. 11(5), pages 1-34, February.
  31. repec:dau:papers:123456789/331 is not listed on IDEAS
  32. Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
  33. 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.
  34. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
  35. Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014. "Time-consistent investment policies in Markovian markets: A case of mean–variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316.
  36. Christian Bayer & Bezirgen Veliyev, 2014. "Utility Maximization In A Binomial Model With Transaction Costs: A Duality Approach Based On The Shadow Price Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-27.
  37. repec:dau:papers:123456789/4721 is not listed on IDEAS
  38. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
  39. Liu, Yong-Jun & Zhang, Wei-Guo & Zhang, Pu, 2013. "A multi-period portfolio selection optimization model by using interval analysis," Economic Modelling, Elsevier, vol. 33(C), pages 113-119.
  40. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  41. Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org, revised May 2015.
  42. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
  43. Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org, revised Nov 2014.
  44. David Hobson & Alex S. L. Tse & Yeqi Zhu, 2019. "A multi-asset investment and consumption problem with transaction costs," Finance and Stochastics, Springer, vol. 23(3), pages 641-676, July.
  45. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
  46. repec:dau:papers:123456789/5374 is not listed on IDEAS
  47. Xiaofei Shi & Daran Xu & Zhanhao Zhang, 2023. "Deep learning algorithms for hedging with frictions," Digital Finance, Springer, vol. 5(1), pages 113-147, March.
  48. Koren Miklós & Szeidl Ádám, 2002. "Portfolio Choice with Illiquid Assets," Rajk László Szakkollégium Working Papers 6, Rajk László College.
  49. Martin Herdegen & Johannes Muhle-Karbe, 2018. "Stability of Radner equilibria with respect to small frictions," Finance and Stochastics, Springer, vol. 22(2), pages 443-502, April.
  50. Dai, Min & Wang, Hefei & Yang, Zhou, 2012. "Leverage management in a bull–bear switching market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1585-1599.
  51. Areski Cousin & J'er^ome Lelong & Tom Picard, 2023. "Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach," Papers 2305.16152, arXiv.org, revised Jun 2023.
  52. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
  53. Zura Kakushadze, 2014. "Mean-Reversion and Optimization," Papers 1408.2217, arXiv.org, revised Feb 2016.
  54. Paolo Guasoni & Gu Wang, 2012. "Hedge and Mutual Funds' Fees and the Separation of Private Investments," Papers 1208.4799, arXiv.org, revised Oct 2014.
  55. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
  56. Tiago P. Filomena & Miguel A. Lejeune, 2014. "Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 308-329, April.
  57. Chen, Zhi-ping & Li, Gang & Guo, Ju-e, 2013. "Optimal investment policy in the time consistent mean–variance formulation," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 145-156.
  58. Albert Altarovici & Max Reppen & H. Mete Soner, 2016. "Optimal Consumption and Investment with Fixed and Proportional Transaction Costs," Papers 1610.03958, arXiv.org.
  59. Kozhan, Roman & Schmid, Wolfgang, 2009. "Asset allocation with distorted beliefs and transaction costs," European Journal of Operational Research, Elsevier, vol. 194(1), pages 236-249, April.
  60. Juan M. Romero & Jorge Bautista, 2016. "Exact solutions for optimal execution of portfolios transactions and the Riccati equation," Papers 1601.07961, arXiv.org.
  61. Elisa Luciano, 2024. "Optimal Fees and Equilibrium in Crypto Markets," Carlo Alberto Notebooks 722 JEL Classification: D, Collegio Carlo Alberto.
  62. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
  63. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
  64. Ethem Çanakoğlu & Süleyman Özekici, 2009. "Portfolio selection in stochastic markets with exponential utility functions," Annals of Operations Research, Springer, vol. 166(1), pages 281-297, February.
  65. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
  66. Rim Bernoussi & Michael Rockinger, 2023. "Rebalancing with transaction costs: theory, simulations, and actual data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 121-160, June.
  67. Garnadi, Agah D. & SYAHRIL,, 2017. "An Optimal Transaction Intervals for Portfolio Selection Problem with Bullet Transaction Cost," INA-Rxiv ev7mk, Center for Open Science.
  68. T. Arun, 2012. "The Merton Problem with a Drawdown Constraint on Consumption," Papers 1210.5205, arXiv.org.
  69. Chae, Jiwon & Jang, Bong-Gyu & Kim, Taeyoon, 2024. "The effect of regime-switching transaction costs and cash dividends on liquidity premia," International Review of Financial Analysis, Elsevier, vol. 93(C).
  70. Almira Biglova & Sergio Ortobelli & Frank J Fabozzi, 2014. "Portfolio selection in the presence of systemic risk," Journal of Asset Management, Palgrave Macmillan, vol. 15(5), pages 285-299, October.
  71. Yingting Miao & Qiang Zhang, 2023. "Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility," Papers 2304.07672, arXiv.org.
  72. Stefano Baccarin & Daniele Marazzina, 2013. "Portfolio Optimization over a Finite Horizon with Fixed and Proportional Transaction Costs and Liquidity Constraints," Working papers 017, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  73. Hiroatsu Tanaka & Naohiko Baba, 2003. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Bank of Japan Working Paper Series 03-E-2, Bank of Japan.
  74. Paolo Guasoni & Gu Wang, 2015. "Hedge and mutual funds’ fees and the separation of private investments," Finance and Stochastics, Springer, vol. 19(3), pages 473-507, July.
  75. Lai, Karen M.Y. & Saffar, Walid & Zhu, Xindong (Kevin) & Liu, Yiye, 2020. "Political institutions, stock market liquidity and firm dividend policy: Some international evidence," Journal of Contemporary Accounting and Economics, Elsevier, vol. 16(1).
  76. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
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  81. S. Gerhold & J. Muhle-Karbe & W. Schachermayer, 2013. "The dual optimizer for the growth-optimal portfolio under transaction costs," Finance and Stochastics, Springer, vol. 17(2), pages 325-354, April.
  82. Nikolay A. Andreev, 2015. "Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits," HSE Working papers WP BRP 45/FE/2015, National Research University Higher School of Economics.
  83. Maxim Bichuch, 2014. "Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment," Finance and Stochastics, Springer, vol. 18(3), pages 651-694, July.
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  94. Vladimir Cherny & Jan Obloj, 2011. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Papers 1110.6289, arXiv.org, revised Apr 2013.
  95. Vasyl Golosnoy, 2010. "No-transaction bounds and estimation risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 487-493.
  96. Paolo Guasoni & Johannes Muhle-Karbe, 2011. "Long Horizons, High Risk Aversion, and Endogeneous Spreads," Papers 1110.1214, arXiv.org, revised Jul 2012.
  97. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, vol. 3(4), pages 1-17, November.
  98. Fu, Chenpeng & Lari-Lavassani, Ali & Li, Xun, 2010. "Dynamic mean-variance portfolio selection with borrowing constraint," European Journal of Operational Research, Elsevier, vol. 200(1), pages 312-319, January.
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