IDEAS home Printed from https://ideas.repec.org/r/bla/mathfi/v16y2006i2p301-335.html
   My bibliography  Save this item

Multidimensional Portfolio Optimization With Proportional Transaction Costs

Citations

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


Cited by:

  1. 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.
  2. Yongyang Cai & Kenneth L. Judd & Rong Xu, 2013. "Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs," NBER Working Papers 18709, National Bureau of Economic Research, Inc.
  3. Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach," Working Papers hal-04086378, HAL.
  4. 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.
  5. repec:cte:wsrepe:ws1521 is not listed on IDEAS
  6. Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
  7. Dabadghao, Shaunak S. & Chockalingam, Arun & Soltani, Taimaz & Fransoo, Jan, 2021. "Valuing Switching options with the moving-boundary method," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  8. Roland Herzog & Karl Kunisch & Jörn Sass, 2013. "Primal-dual methods for the computation of trading regions under proportional transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(1), pages 101-130, February.
  9. Bogdan Grechuk & Michael Zabarankin, 2017. "Synergy effect of cooperative investment," Annals of Operations Research, Springer, vol. 249(1), pages 409-431, February.
  10. 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.
  11. Daniel Sevcovic, 2017. "Nonlinear Parabolic Equations arising in Mathematical Finance," Papers 1707.01436, arXiv.org.
  12. 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.
  13. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2020. "Optimal investment and consumption with return predictability and execution costs," Economic Modelling, Elsevier, vol. 88(C), pages 408-419.
  14. Karakaya, Emrah, 2016. "Finite Element Method for forecasting the diffusion of photovoltaic systems: Why and how?," Applied Energy, Elsevier, vol. 163(C), pages 464-475.
  15. Ibrahim Ekren & Ren Liu & Johannes Muhle-Karbe, 2015. "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Papers 1510.05097, arXiv.org, revised Sep 2017.
  16. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2022. "Portfolio choice with return predictability and small trading frictions," Economic Modelling, Elsevier, vol. 111(C).
  17. David Hobson & Yeqi Zhu, 2014. "Multi-asset consumption-investment problems with infinite transaction costs," Papers 1409.8037, arXiv.org.
  18. 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.
  19. Michael Senescall & Rand Kwong Yew Low, 2024. "Quantitative Portfolio Management: Review and Outlook," Mathematics, MDPI, vol. 12(18), pages 1-25, September.
  20. Albert Altarovici & Max Reppen & H. Mete Soner, 2016. "Optimal Consumption and Investment with Fixed and Proportional Transaction Costs," Papers 1610.03958, arXiv.org.
  21. Palczewski, Jan & Poulsen, Rolf & Schenk-Hoppé, Klaus Reiner & Wang, Huamao, 2015. "Dynamic portfolio optimization with transaction costs and state-dependent drift," European Journal of Operational Research, Elsevier, vol. 243(3), pages 921-931.
  22. Chen, Binbin & Huang, Shih-Feng & Pan, Guangming, 2015. "High dimensional mean–variance optimization through factor analysis," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 140-159.
  23. 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.
  24. 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.
  25. Jin Hyuk Choi, 2016. "Optimal consumption and investment with liquid and illiquid assets," Papers 1602.06998, arXiv.org, revised Jan 2019.
  26. Tae Ung Gang & Jin Hyuk Choi, 2024. "Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions," Papers 2407.13547, arXiv.org.
  27. 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.
  28. Mei, Xiaoling & Nogales, Francisco J., 2018. "Portfolio selection with proportional transaction costs and predictability," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 131-151.
  29. 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.
  30. Saif Benjaafar & Daniel Jiang & Xiang Li & Xiaobo Li, 2022. "Dynamic Inventory Repositioning in On-Demand Rental Networks," Management Science, INFORMS, vol. 68(11), pages 7861-7878, November.
  31. Karakaya, Emrah, 2014. "Finite Element Model of the Innovation Diffusion: An Application to Photovoltaic Systems," INDEK Working Paper Series 2014/6, Royal Institute of Technology, Department of Industrial Economics and Management.
  32. Jin Hyuk Choi & Tae Ung Gang, 2021. "Optimal investment in illiquid market with search frictions and transaction costs," Papers 2101.09936, arXiv.org, revised Aug 2021.
  33. Arash Fahim & Wan-Yu Tsai, 2017. "A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs," Papers 1711.01017, arXiv.org.
  34. Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner, 2013. "Asymptotics for Fixed Transaction Costs," Papers 1306.2802, arXiv.org, revised Oct 2013.
  35. Minglian Lin & Indranil SenGupta, 2023. "Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets," Papers 2302.06778, arXiv.org, revised Dec 2023.
  36. Dylan Possamai & H. Mete Soner & Nizar Touzi, 2012. "Homogenization and asymptotics for small transaction costs: the multidimensional case," Papers 1212.6275, arXiv.org, revised Jan 2013.
  37. Mei, Xiaoling & DeMiguel, Victor & Nogales, Francisco J., 2016. "Multiperiod portfolio optimization with multiple risky assets and general transaction costs," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 108-120.
  38. David B. Brown & James E. Smith, 2011. "Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds," Management Science, INFORMS, vol. 57(10), pages 1752-1770, October.
  39. Albert Altarovici & Johannes Muhle-Karbe & Halil Soner, 2015. "Asymptotics for fixed transaction costs," Finance and Stochastics, Springer, vol. 19(2), pages 363-414, April.
  40. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  41. Dumitru MARIN & Ion PARTACHI & Madalina ANGHEL, 2017. "Theoretical Aspects Regarding the Optimal Taxation of Effort With More Conditions," Romanian Statistical Review, Romanian Statistical Review, vol. 65(3), pages 93-104, September.
  42. 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.
  43. Peter Schober & Julian Valentin & Dirk Pflüger, 2022. "Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 185-224, January.
  44. Arkadiy V. Sakhartov, 2017. "Economies of Scope, Resource Relatedness, and the Dynamics of Corporate Diversification," Strategic Management Journal, Wiley Blackwell, vol. 38(11), pages 2168-2188, November.
  45. 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).
  46. 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.
  47. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.