کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099644 | 1377021 | 2007 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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چکیده انگلیسی
The dynamic portfolio selection problem with fixed and/or proportional transaction costs is studied. The portfolio consists of a risk-free asset, and a risky asset whose price dynamics is governed by geometric Brownian motion. The objective is to find the amounts invested in the risk-free and risky assets that maximize the expected value of the discounted utility of terminal wealth. The dynamic optimization problem is formulated as a non-singular stochastic optimal control problem. Numerical results are presented for buy and sell/no transaction interfaces, and buy and sell targets, that characterize the optimal policies of a constant relative risk aversion investor.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 7, July 2007, Pages 2168-2195
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 7, July 2007, Pages 2168-2195
نویسندگان
Thamayanthi Chellathurai, Thangaraj Draviam,