Maximizing the Growth Rate of a Portfolio with Fixed and Proportional Transaction Costs

被引：0

作者：

Takashi Tamura

机构：

[1] Department of Systems Innovation,

[2] Graduate School of Engineering Science,undefined

[3] Osaka University,undefined

[4] Toyonaka 560-8531,undefined

来源：

Applied Mathematics and Optimization | 2006年 / 54卷

关键词：

Variational Inequality; Transaction Cost; Perturbation Method; Portfolio Selection; Risky Asset;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper a portfolio optimization problem with transaction costs is studied. Transactions of assets are formulated as an impulsive control, which does not allow continuous transactions. The introduction of fixed rate costs has the effect of preventing continuous transactions. The objective of this paper is studying the problem of maximizing the growth rate of expected log utility. A quasi-variational inequality (QVI) of "ergodic type" is derived from the optimization problem. To solve the inequality, we use a perturbation method, where we obtain a necessary estimate of solutions of non-ergodic type QVIs by using a stochastic representation of the solutions.

引用

页码：95 / 116

页数：21

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