Optimal portfolio selection with transaction costs when an illiquid asset pays cash dividends

被引：3
|
作者：
Jang, Bong-Gyu [1 ]
机构：
[1] Financial Supervisory Serv, Derivat Supervis Tream, Seoul 150743, South Korea
来源：
JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY | 2007年 / 44卷 / 01期
关键词：
optimal portfolio; consumption; investment; dividend; transaction costs;
D O I：
10.4134/JKMS.2007.44.1.139
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We investigate an optimal portfolio selection problem with transaction costs when an illiquid asset pays cash dividends and there are constraints on the illiquid asset holding. We provide closed form solutions for the problem, and by using these solutions we illustrate interesting features of optimal policies.
引用
收藏
页码：139 / 150
页数：12
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