Multi-Period Portfolio Selection with Transaction Costs

被引：1
|
作者：
Yi, Lan [1 ]
机构：
[1] Jinan Univ, Sch Management, Guangzhou 510632, Guangdong, Peoples R China
来源：
2010 2ND IEEE INTERNATIONAL CONFERENCE ON INFORMATION AND FINANCIAL ENGINEERING (ICIFE) | 2010年
关键词：
Transaction costs; Multi-period; portfolio selection; martingale method; risk neutral probability;
D O I：
10.1109/ICIFE.2010.5609261
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We discuss a multi-period portfolio selection problem with transaction costs in this paper. We assume that the sample space is finite, and the possible securities price vector transitions is equivalent to the number of securities. By introducing a set of auxiliary martingales, we connect the primal problem with a set of optimization problems without transaction costs. We find that the dual problem, which is to minimize the optimal value for the set of optimization problems, is equivalent to the primal problem, if it exists.
引用
收藏
页码：98 / 103
页数：6
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