Discrete time portfolio selection with proportional transaction costs

• Autorzy: Bobryk R. V. , Stettner Ł.
• Języki publikacji: EN

Abstrakty

EN

In the paper discrete time portfolio selection with maximization of a discounted satisfaction functional is studied. In Section 2 the case without transaction costs is considered and explicit solutions for special satisfaction functions are given. In Section 3 the problem with proportional transaction costs is investigated and optimal strategies are characterized.

Słowa kluczowe

EN

portfolio selection; transaction costs; Bellman equation

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1999
• Tom: Vol. 19, Fasc. 2
• Strony: 235--248
• Opis fizyczny: Bibliogr. 6 poz.

Twórcy

autor

Bobryk R. V.

• Institute of Mathematics, Pedagogical University, Konopnickiej 15, 25-406 Kielce, Poland
• Institute APMM, Ukrainian Academy of Sciences, 290053 Lviv, Ukraine

autor

Stettner Ł.

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, Warszawa, Poland
• Warsaw School of Management and Marketing, Warsaw, Poland

Bibliografia

• [1] P. Billingsley, Probability and Measure, Wiley, 1979.
• [2] M. H. A. Davis and A. R. Norman, Portfolio selection with transaction costs, Math. Oper. Res. 15 (1990), pp. 676-713.
• [3] M. H. A. Davis, V. G. Panas and T. Zariphopoulou, European option pricing with transaction costs, SIAM J. Control Optim. 31 (1993), pp. 470-493.
• [4] O. Hernández-Lerma and J. B. Lasserre, Discrete-time Markov Control Processes, Springer, 1995.
• [5] R. C. Merton, Optimum consumption and portfolio rules in a continuous-time model, J. Econom. Theory 3 (1971), pp. 373-413.
• [6] P. Samuelson, Lifetime portfolio selection by the dynamic stochastic programming, Rev. Econom. Statistics 51 (1969), pp. 239-246.