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Multi-period portfolio optimization with constraints and transaction costs
Investment combinatorial optimization the horizon assets minimum deviation standard dynamic
2015/8/10
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Homogenization and asymptotics for small transaction costs
transaction costs, homogenization, viscosity solutions, asymptotic expansions
2012/2/29
We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitl...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisibl emarket transaction cost continuity of valuefunction quasi-variational inequality
2010/4/27
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...
Portfolio Optimization Model with Transaction Costs
Transaction cost portfolio optimization model
2007/12/11
The purpose of the article is to formulate, under the lX risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characte...