Portfolio selection with transaction costs

作者: M. H. A. Davis , A. R. Norman

DOI: 10.1287/MOOR.15.4.676

关键词:

摘要: In this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account paying fixed rate of interest stock whose price is log-normal diffusion. This problem was solved by Merton others when transactions between costless. Here we suppose that there charges on all equal to percentage the amount transacted. It shown buying selling policies local times two-dimensional process holdings at boundaries wedge-shaped region which determined solution nonlinear free boundary problem. An algorithm solving given.

参考文章(20)
Catherine Dol�ans-Dade, On the existence and unicity of solutions of stochastic integral equations Probability Theory and Related Fields. ,vol. 36, pp. 93- 101 ,(1976) , 10.1007/BF00533992
Robert F. Anderson, Steven Orey, Small Random perturbation of dynamical systems with reflecting boundary Nagoya Mathematical Journal. ,vol. 60, pp. 189- 216 ,(1976) , 10.1017/S0027763000017232
Alain Bensoussan, Jacques Louis Lions, Impulse Control and Quasi-Variational Inequalities ,(1984)
Raymond W. Rishel, Wendell Helms Fleming, Deterministic and Stochastic Optimal Control ,(1975)
P. L. Lions, A. S. Sznitman, Stochastic differential equations with reflecting boundary conditions Communications on Pure and Applied Mathematics. ,vol. 37, pp. 511- 537 ,(1984) , 10.1002/CPA.3160370408
Ioannis Karatzas, Steven E. Shreve, Equivalent models for finite-fuel stochastic control Stochastics An International Journal of Probability and Stochastic Processes. ,vol. 18, pp. 245- 276 ,(1986) , 10.1080/17442508608833410
Robert C Merton, Optimum consumption and portfolio rules in a continuous-time model☆ Journal of Economic Theory. ,vol. 3, pp. 373- 413 ,(1971) , 10.1016/0022-0531(71)90038-X
Darrell Duffie, Tong-sheng Sun, Transactions costs and portfolio choice in a discrete-continuous-time setting Journal of Economic Dynamics and Control. ,vol. 14, pp. 35- 51 ,(1990) , 10.1016/0165-1889(90)90004-Z
V. E. Beneš, L. A Shepp, H. S Witsenhausen, Some solvable stochastic control problemst Stochastics An International Journal of Probability and Stochastic Processes. ,vol. 4, pp. 39- 83 ,(1980) , 10.1080/17442508008833156
Michael Taksar, Michael J. Klass, David Assaf, A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees Mathematics of Operations Research. ,vol. 13, pp. 277- 294 ,(1988) , 10.1287/MOOR.13.2.277