Worst-case portfolio optimization with proportional transaction costs-Reference-Cited by-同舟云学术

Worst-case portfolio optimization with proportional transaction costs

Published:2015-02-20 Issue:4 Volume:87 Page:623-663
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Belak Christoph¹,Menkens Olaf²,Sass Jörn¹

Affiliation:

1. Fachbereich Mathematik, Technische Universität Kaiserslautern, Erwin-Schrödinger Straße, 67653 Kaiserslautern, Germany

2. School of Mathematical Sciences, Dublin City University, Glasnevin, Dublin 9, Ireland

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2014.991325

Reference31 articles.

1. Optimum portfolio diversification in a general continuous-time model

2. A finite horizon multidimensional portfolio selection problem with singular transactions

3. C. Belak, Worst-case portfolio optimization: Transaction costs and bubbles, Ph.D. thesis, University of Kaiserslautern, 2014.

4. Worst-case optimal investment with a random number of crashes

5. C. Belak, O. Menkens, and J. Sass, On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs, preprint (2013). Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id = 2314445.

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