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Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
1. | Department of Mathematics, Xidian University, Xi'an, 710071, China, China |
References:
[1] |
M. Akian, J. Menaldi and A. Sulem, On an investment-consumption model with transaction costs, Journal of Control and Optimization, 34 (1996), 329-364.
doi: 10.1137/S0363012993247159. |
[2] |
A. Balbas and S. Mayral, Nonconvex optimization for pricing and hedging in imperfect markets, Computers and Mathematics with Applications, 52 (2006), 121-136.
doi: 10.1016/j.camwa.2006.08.009. |
[3] |
D. Bertsimas and D. Pachamanova, Robust multiperiod portfolio management in the presence of transaction costs, Computers and Operations Research, 35 (2008), 3-17.
doi: 10.1016/j.cor.2006.02.011. |
[4] |
M. Best and J. Hlouskova, Quadratic programming with transaction costs, Computers & Operations Research, 35 (2008), 18-33.
doi: 10.1016/j.cor.2006.02.013. |
[5] |
P. Boyle and X. Lin, Portfolio selection with transaction costs, North American Actuarial Journal, 1 (1997), 27-39.
doi: 10.1080/10920277.1997.10595602. |
[6] |
T. Chellathurai and T. Draviam, Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory, Journal of Economic Dynamics & Control, 31 (2007), 2168-2195.
doi: 10.1016/j.jedc.2006.06.006. |
[7] |
U. Çlikyurt and S. Ökici, Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach, European Journal of Operational Research, 179 (2007), 186-202. |
[8] |
G. Constantinides, Optimal portfolio revision with proportional transaction costs: Extension to hara utility function and exogenous deterministic income, Management Science, 22 (1976), 921-923.
doi: 10.1287/mnsc.22.8.921. |
[9] |
M. Davis and A. Norman, Portfolio selection with transaction costs, Mathematics of Operations Research, 15 (1990), 676-713.
doi: 10.1287/moor.15.4.676. |
[10] |
N. Framstad, B. Øksendal and A. Sulem, Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs, Journal of Mathematical Economics, 35 (2001), 233-257.
doi: 10.1016/S0304-4068(00)00067-7. |
[11] |
G. Gennotte and A. Jung, Investment strategies under transaction costs: The finite horizon case, Management Science, 40 (1994), 385-404.
doi: 10.1287/mnsc.40.3.385. |
[12] |
B. Jang, Optimal portfolio selection with transaction costs when an illiquid asset pays cash dividends, Journal of the Korean Mathematical Society, 44 (2007), 139-150.
doi: 10.4134/JKMS.2007.44.1.139. |
[13] |
J. Kamin, Optimal portfolio revision with a proportional transaction cost, Management Science, 21 (1975), 1263-1271.
doi: 10.1287/mnsc.21.11.1263. |
[14] |
H. Konno and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to tokyo stock market, Management Science, 37 (1991), 519-531.
doi: 10.1287/mnsc.37.5.519. |
[15] |
D. G. Luenberger, "Opitimization by Vector Space Methods," Wiley, New York, 1968. |
[16] |
H. Markowitz, "Mean-Variance Analysis in Portfolio Choice and Capital Markets," Blackwell, Oxford, UK, 1992. |
[17] |
R. Merton, Lifetime portfolio selection under uncertainty: The continuous-time case, Review of Economics and Statistics, 51 (1969), 247-257.
doi: 10.2307/1926560. |
[18] |
K. Muthuraman, A computational scheme for optimal investment-consumption with proportional transaction costs, Journal of Economic Dynamics & Control, 31 (2007), 1132-1159.
doi: 10.1016/j.jedc.2006.04.005. |
[19] |
P. Samuelson, Lifetime portfolio selection by dynamic stochastic programming, Review of Economics and Statistics, 51 (1969), 239-246.
doi: 10.2307/1926559. |
[20] |
M. Woodside-Oriakhi, C. Lucas and J. E. Beasley, Portfolio rebalancing with an investment horizon and transaction costs, Omega, 41 (2013), 406-420.
doi: 10.1016/j.omega.2012.03.003. |
[21] |
H. Yao, A simple method for solving multiperiod mean-variance asset-liability management problem, Procedia Engineering, 23 (2011), 387-391.
doi: 10.1016/j.proeng.2011.11.2518. |
[22] |
L. Yi, Z. Li and D. Li, Multi-period portfolio selection for asset-liability management with uncertain investment horizon, Journal of Industrial and Management Optimization, 4 (2008), 535-552.
doi: 10.3934/jimo.2008.4.535. |
[23] |
M. Yu, S. Takahashib, H. Inoueb and S. Wang, Dynamic portfolio optimization with risk control for absolute deviation model, European Journal of Operational Research, 201 (2010), 349-364.
doi: 10.1016/j.ejor.2009.03.009. |
show all references
References:
[1] |
M. Akian, J. Menaldi and A. Sulem, On an investment-consumption model with transaction costs, Journal of Control and Optimization, 34 (1996), 329-364.
doi: 10.1137/S0363012993247159. |
[2] |
A. Balbas and S. Mayral, Nonconvex optimization for pricing and hedging in imperfect markets, Computers and Mathematics with Applications, 52 (2006), 121-136.
doi: 10.1016/j.camwa.2006.08.009. |
[3] |
D. Bertsimas and D. Pachamanova, Robust multiperiod portfolio management in the presence of transaction costs, Computers and Operations Research, 35 (2008), 3-17.
doi: 10.1016/j.cor.2006.02.011. |
[4] |
M. Best and J. Hlouskova, Quadratic programming with transaction costs, Computers & Operations Research, 35 (2008), 18-33.
doi: 10.1016/j.cor.2006.02.013. |
[5] |
P. Boyle and X. Lin, Portfolio selection with transaction costs, North American Actuarial Journal, 1 (1997), 27-39.
doi: 10.1080/10920277.1997.10595602. |
[6] |
T. Chellathurai and T. Draviam, Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory, Journal of Economic Dynamics & Control, 31 (2007), 2168-2195.
doi: 10.1016/j.jedc.2006.06.006. |
[7] |
U. Çlikyurt and S. Ökici, Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach, European Journal of Operational Research, 179 (2007), 186-202. |
[8] |
G. Constantinides, Optimal portfolio revision with proportional transaction costs: Extension to hara utility function and exogenous deterministic income, Management Science, 22 (1976), 921-923.
doi: 10.1287/mnsc.22.8.921. |
[9] |
M. Davis and A. Norman, Portfolio selection with transaction costs, Mathematics of Operations Research, 15 (1990), 676-713.
doi: 10.1287/moor.15.4.676. |
[10] |
N. Framstad, B. Øksendal and A. Sulem, Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs, Journal of Mathematical Economics, 35 (2001), 233-257.
doi: 10.1016/S0304-4068(00)00067-7. |
[11] |
G. Gennotte and A. Jung, Investment strategies under transaction costs: The finite horizon case, Management Science, 40 (1994), 385-404.
doi: 10.1287/mnsc.40.3.385. |
[12] |
B. Jang, Optimal portfolio selection with transaction costs when an illiquid asset pays cash dividends, Journal of the Korean Mathematical Society, 44 (2007), 139-150.
doi: 10.4134/JKMS.2007.44.1.139. |
[13] |
J. Kamin, Optimal portfolio revision with a proportional transaction cost, Management Science, 21 (1975), 1263-1271.
doi: 10.1287/mnsc.21.11.1263. |
[14] |
H. Konno and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to tokyo stock market, Management Science, 37 (1991), 519-531.
doi: 10.1287/mnsc.37.5.519. |
[15] |
D. G. Luenberger, "Opitimization by Vector Space Methods," Wiley, New York, 1968. |
[16] |
H. Markowitz, "Mean-Variance Analysis in Portfolio Choice and Capital Markets," Blackwell, Oxford, UK, 1992. |
[17] |
R. Merton, Lifetime portfolio selection under uncertainty: The continuous-time case, Review of Economics and Statistics, 51 (1969), 247-257.
doi: 10.2307/1926560. |
[18] |
K. Muthuraman, A computational scheme for optimal investment-consumption with proportional transaction costs, Journal of Economic Dynamics & Control, 31 (2007), 1132-1159.
doi: 10.1016/j.jedc.2006.04.005. |
[19] |
P. Samuelson, Lifetime portfolio selection by dynamic stochastic programming, Review of Economics and Statistics, 51 (1969), 239-246.
doi: 10.2307/1926559. |
[20] |
M. Woodside-Oriakhi, C. Lucas and J. E. Beasley, Portfolio rebalancing with an investment horizon and transaction costs, Omega, 41 (2013), 406-420.
doi: 10.1016/j.omega.2012.03.003. |
[21] |
H. Yao, A simple method for solving multiperiod mean-variance asset-liability management problem, Procedia Engineering, 23 (2011), 387-391.
doi: 10.1016/j.proeng.2011.11.2518. |
[22] |
L. Yi, Z. Li and D. Li, Multi-period portfolio selection for asset-liability management with uncertain investment horizon, Journal of Industrial and Management Optimization, 4 (2008), 535-552.
doi: 10.3934/jimo.2008.4.535. |
[23] |
M. Yu, S. Takahashib, H. Inoueb and S. Wang, Dynamic portfolio optimization with risk control for absolute deviation model, European Journal of Operational Research, 201 (2010), 349-364.
doi: 10.1016/j.ejor.2009.03.009. |
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