IDEAS home Printed from https://ideas.repec.org/r/bla/mathfi/v11y2001i2p153-188.html
   My bibliography  Save this item

Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January.
  2. Jérôme Bolte & Stéphane Gaubert & Guillaume Vigeral, 2015. "Definable Zero-Sum Stochastic Games," Mathematics of Operations Research, INFORMS, vol. 40(1), pages 171-191, February.
  3. Najafi, Amir Abbas & Pourahmadi, Zahra, 2016. "An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 154-162.
  4. Ren'e Aid & Lamia Ben Ajmia & M'hamed Gaigi & Mohamed Mnif, 2021. "Nonzero-sum stochastic impulse games with an application in competitive retail energy markets," Papers 2112.10213, arXiv.org.
  5. 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.
  6. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
  7. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth," Economics Discussion Paper Series 1816, Economics, The University of Manchester.
  8. Wang, Ning & Siu, Tak Kuen, 2024. "Investment–consumption optimization with transaction cost and learning about return predictability," European Journal of Operational Research, Elsevier, vol. 318(3), pages 877-891.
  9. Maxim Bichuch, 2011. "Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs," Papers 1112.2749, arXiv.org.
  10. Girlich, Hans-Joachim, 2003. "Transaction costs in finance and inventory research," International Journal of Production Economics, Elsevier, vol. 81(1), pages 341-350, January.
  11. Yaroslav Melnyk & Frank Thomas Seifried, 2018. "Small†cost asymptotics for long†term growth rates in incomplete markets," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 668-711, April.
  12. Guan, Huiqi & Liang, Zongxia, 2014. "Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 109-122.
  13. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
  14. Christoph Belak & Jörn Sass, 2019. "Finite-horizon optimal investment with transaction costs: construction of the optimal strategies," Finance and Stochastics, Springer, vol. 23(4), pages 861-888, October.
  15. Soren Christensen & Albrecht Irle & Andreas Ludwig, 2016. "Optimal portfolio selection under vanishing fixed transaction costs," Papers 1611.01280, arXiv.org, revised Jul 2017.
  16. Jan Palczewski & Lukasz Stettner, 2007. "Growth-optimal portfolios under transaction costs," Papers 0707.3198, arXiv.org.
  17. Soren Christensen & Marc Wittlinger, 2012. "Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs," Papers 1209.0305, arXiv.org, revised Jun 2013.
  18. Lin He & Zongxia Liang & Sheng Wang, 2022. "Modern Tontine with Transaction Costs," Papers 2209.09709, arXiv.org, revised Jun 2023.
  19. Lesly Lisset Ortiz-Cerezo & Alin Andrei Carsteanu & Julio Bernardo Clempner, 2022. "Sharpe-Ratio Portfolio in Controllable Markov Chains: Analytic and Algorithmic Approach for Second Order Cone Programming," Mathematics, MDPI, vol. 10(18), pages 1-13, September.
  20. Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014. "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, vol. 18(1), pages 1-37, January.
  21. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
  22. Nabeel Butt, 2019. "On Discrete Probability Approximations for Transaction Cost Problems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 365-389, September.
  23. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.
  24. Irle, Albrecht & Prelle, Claas, 2008. "A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets," Kiel Working Papers 1449, Kiel Institute for the World Economy (IfW Kiel).
  25. Kumar Muthuraman & Haining Zha, 2008. "Simulation‐Based Portfolio Optimization For Large Portfolios With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 115-134, January.
  26. Irle Albrecht & Prelle Claas, 2009. "A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets," Statistics & Risk Modeling, De Gruyter, vol. 27(3), pages 211-233, December.
  27. Yingting Miao & Qiang Zhang, 2023. "Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility," Papers 2304.07672, arXiv.org.
  28. 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.
  29. Wael Bahsoun & Igor V. Evstigneev & Michael I. Taksar, 2009. "Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model," Papers 0909.4730, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.