Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs

Portfolio Optimization Under Fixed Transaction Costs

Portfolio Optimization under Transaction Costs in the Crr Model Portfolio Optimization under Transaction Costs in the Crr Model

In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and optimal strategies can be described by solutions of the dynamic programming equation. For logarithmic u...

Portfolio Optimization with Discrete Proportional Transaction Costs under Stochastic Volatility

This paper is devoted to evaluating the optimal self-financing portfolio and the optimal trading frequency on a risky and risk-free asset to maximize the expected future utility of the terminal wealth in a stochastic volatility setting, when proportional transaction costs are incurred at each discrete trading time. The HARA utility function is used, allowing a simple approximation of the optimi...

Portfolio optimization under transaction costs in the CRR model

In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and optimal strategies can be described by solutions of the dynamic programming equation. For logarithmic u...

A polynomial optimization approach to constant rebalanced portfolio selection

We address the multi-period portfolio optimization problem with the constant rebalanc-ing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known pol...