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Portfolio selection with transaction costs under expected shortfall constraints

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  • Thomas Breuer
  • Martin Jandačka

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  • Thomas Breuer & Martin Jandačka, 2008. "Portfolio selection with transaction costs under expected shortfall constraints," Computational Management Science, Springer, vol. 5(4), pages 305-316, October.
  • Handle: RePEc:spr:comgts:v:5:y:2008:i:4:p:305-316
    DOI: 10.1007/s10287-007-0055-y
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    References listed on IDEAS

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    1. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    2. Andrew J. Morton & Stanley R. Pliska, 1995. "Optimal Portfolio Management With Fixed Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 337-356, October.
    3. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
    4. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June.
    5. Yacine AÏT‐SAHALI & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
    6. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, June.
    7. Michael Taksar & Michael J. Klass & David Assaf, 1988. "A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees," Mathematics of Operations Research, INFORMS, vol. 13(2), pages 277-294, May.
    8. Domenico Cuoco & Hong Liu, 2000. "A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 355-385, July.
    9. Yuri Kabanov & Claudia Klüppelberg, 2004. "A geometric approach to portfolio optimization in models with transaction costs," Finance and Stochastics, Springer, vol. 8(2), pages 207-227, May.
    10. Kumar Muthuraman & Sunil Kumar, 2006. "Multidimensional Portfolio Optimization With Proportional Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 301-335, April.
    11. Kim, Tong Suk & Omberg, Edward, 1996. "Dynamic Nonmyopic Portfolio Behavior," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 141-161.
    12. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, vol. 25(2), pages 65-86.
    13. Ioannis Karatzas & John P. Lehoczky & Suresh P. Sethi & Steven E. Shreve, 1986. "Explicit Solution of a General Consumption/Investment Problem," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 261-294, May.
    14. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
    15. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729, Elsevier.
    16. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    17. Peter Lakner & Lan Ma Nygren, 2006. "Portfolio Optimization With Downside Constraints," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 283-299, April.
    18. Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October.
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