VaR optimal portfolio with transaction costs

اسناد مشابه

• A memetic algorithm for cardinality-constrained portfolio optimization with transaction costs

  سند علمی۲۰۱۵Appl. Soft Comput.Rubén Ruiz-Torrubiano, Alberto Suárez

  A memetic approach that combines a genetic algorithm (GA) and quadratic programming is used to address the problem of optimal portfolio selection with cardinality constraints and piecewise linear transaction costs. The framework used is an extension of the standard Markowitz mean

• Dynamic portfolio optimization with transaction costs and state-dependent drift

  سند علمی۲۰۱۵European Journal of Operational ResearchJan Palczewski, Rolf Poulsen, Klaus Reiner Schenk-Hoppé, Huamao Wang

  The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximationof the continuous timeprice processes. Using this approximation,wepresent an efficient numerical method to determine optimal portfolio strategies under ti

• Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds

  سند علمی۲۰۱۱Management ScienceDavid B. Brown, James E. Smith

  We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon setting. Our general model considers risk aversion, portfolio constraints (e.g., no short positions), return predictability, and transaction costs. This problem is naturally formulated as

• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH∗ by JAKŠA CVITANIĆ

  سند علمی۲۰۰۶IOANNIS KARATZAS

  We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous-time model with proportional transaction costs; the expression obtained can be interpreted as the supremum of expected discounted values of the claim, over all (pairs

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

  سند علمی۲۰۱۴J. Sass, Jörn Sass

  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

• An Algorithm for Portfolio Optimization with Transaction Costs

  سند علمی۲۰۰۵Management ScienceMichael J. Best, Jaroslava Hlouskova

  W consider the problem of maximizing an expected utility function of n assets, such as the mean-variance or power-utility function. Associated with a change in an asset’s holdings from its current or target value is a transaction cost. This cost must be accounted for in practical