An Portfolio Optimal Attainability under Transaction Costs

被引：0
|
作者：
Xu Shimeng [1 ]
Liu Junhong [1 ]
机构：
[1] Acad Armored Force Engn, Sect Math, Beijing 100072, Peoples R China
来源：
MECHANICAL SCIENCE AND ENGINEERING IV | 2014年 / 472卷
关键词：
discount asset; double convex; portfolio; asset optimization; expectation of utility function;
D O I：
10.4028/www.scientific.net/AMM.472.1066
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This According to discount asset function and double convex portfolio, the attainability of the asset optimization was discussed under the market models with transaction costs,. By virtue of stochastic analysis and the maximal value properties confined in some convex region, the attainability of asset optimization was given under discount function form and corresponding to utility function and expectation of utility function in this paper.
引用
收藏
页码：1066 / 1069
页数：4
相关论文
共 50 条
  • [1] THE ATTAINABILITY OF THE PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS
    XU Shimeng(Institute of Applied Mathematics
    [J]. Journal of Systems Science & Complexity, 2000, (03) : 236 - 241
  • [2] OPTIMAL PORTFOLIO SELECTION UNDER VANISHING FIXED TRANSACTION COSTS
    Christensen, Soeren
    Irle, Albrecht
    Ludwig, Andreas
    [J]. ADVANCES IN APPLIED PROBABILITY, 2017, 49 (04) : 1116 - 1143
  • [3] Optimal portfolio policies under fixed and proportional transaction costs
    Irle, Albrecht
    Sass, Joern
    [J]. ADVANCES IN APPLIED PROBABILITY, 2006, 38 (04) : 916 - 942
  • [4] VaR optimal portfolio with transaction costs
    Krejic, Natasa
    Kumaresan, Miles
    Roznjik, Andrea
    [J]. APPLIED MATHEMATICS AND COMPUTATION, 2011, 218 (08) : 4626 - 4637
  • [5] Optimal portfolio selection with transaction costs
    Collings, P
    Haussmann, UG
    [J]. CONTROL OF DISTRIBUTED PARAMETER AND STOCHASTIC SYSTEMS, 1999, 13 : 189 - 197
  • [6] The dual optimizer for the growth-optimal portfolio under transaction costs
    Gerhold, S.
    Muhle-Karbe, J.
    Schachermayer, W.
    [J]. FINANCE AND STOCHASTICS, 2013, 17 (02) : 325 - 354
  • [7] Growth Optimal Portfolio Under Proportional Transaction Costs With Obligatory Diversification
    Duncan, T. E.
    Pasik-Duncan, B.
    Stettner, L.
    [J]. 47TH IEEE CONFERENCE ON DECISION AND CONTROL, 2008 (CDC 2008), 2008, : 5582 - 5589
  • [8] The dual optimizer for the growth-optimal portfolio under transaction costs
    S. Gerhold
    J. Muhle-Karbe
    W. Schachermayer
    [J]. Finance and Stochastics, 2013, 17 : 325 - 354
  • [9] Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach
    Tunc, Sait
    Donmez, Mehmet Ali
    Kozat, Suleyman Serdar
    [J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2013, 61 (12) : 3129 - 3142
  • [10] The optimal strategy of portfolio selection with transaction costs
    Ye, SQ
    Peng, Y
    [J]. Proceedings of 2005 International Conference on Machine Learning and Cybernetics, Vols 1-9, 2005, : 3480 - 3485
12345