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Portfolio Optimisation In The Presence Of Transaction Costs

In: Optimal Portfolios Stochastic Models for Optimal Investment and Risk Management in Continuous Time

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  • Ralf Korn

    (Johannes Gutenberg-Universität Mainz, Germany)

Abstract

The following sections are included:Optimal Life-Time Consumption with Proportional Transaction CostsImpulse Control Methods and Portfolio Optimisation with Strictly Positive Transaction CostsMaximising the Growth Rate under Fixed Transaction Costs

Suggested Citation

  • Ralf Korn, 1997. "Portfolio Optimisation In The Presence Of Transaction Costs," World Scientific Book Chapters, in: Optimal Portfolios Stochastic Models for Optimal Investment and Risk Management in Continuous Time, chapter 5, pages 151-221, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812385345_0005
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