Large-scale portfolio allocation under transaction costs and model uncertainty

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...

Large scale portfolio optimization with piecewise linear transaction costs

We consider the fundamental problem of computing an optimal portfolio based on a quadratic mean-variance model of the objective function and a given polyhedral representation of the constraints. The main departure from the classical quadratic programming formulation is the inclusion in the objective function of piecewise linear, separable functions representing the transaction costs. We handle ...

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 Under Fixed Transaction Costs

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...