Optimal portfolio policies under fixed and proportional transaction costs

被引：12

作者：

Irle, Albrecht

Sass, Joern

机构：

[1] Univ Kiel, D-24098 Kiel, Germany

[2] Austrian Acad Sci, RICAM, A-4040 Linz, Austria

来源：

ADVANCES IN APPLIED PROBABILITY | 2006年 / 38卷 / 04期

关键词：

asymptotic growth rate; impulse control; fixed cost; proportional cost; portfolio optimization; transaction cost;

D O I：

10.1239/aap/1165414586

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the portfolio optimization problem of maximizing the asymptotic growth rate under a combination of fixed and proportional costs. Expressing the asymptotic growth rate in terms of the risky fraction process, the problem can be transformed to that of controlling a diffusion in one dimension. Then we use the corresponding quasivariational inequalities to obtain the explicit shape together with the existence of an optimal impulse control strategy. This optimal strategy is given by only four parameters: two for the stopping boundaries and two for the new risky fractions the investor chooses at these times.

引用

页码：916 / 942

页数：27

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