SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2007.00324.x/fullpdf
Reference25 articles.
1. On an Investment-Consumption Model with Transaction Costs;Akian;SIAM J. Cont. Opt.,1996
2. Dynamic Optimization of Long-Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility;Akian;Math. Financ.,2001
3. Portfolio Management with Transaction Costs;Atkinson;Proc. R. Soc. Lond. A.,1997
4. A Diffusion Model for the Control of a Dam;Bather;J. Appl. Prob.,1968
5. Risk Sensitive Asset Management with Transaction Costs;Bielecki;Financ. Stoc.,2000
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