Portfolio Selection Theory in Discrete-Time

2018 ◽  
pp. 33-73
Author(s):  
Jia-An Yan
Keyword(s):  
Portfolio Selection ◽  
Discrete Time ◽  
Selection Theory

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution

2016 ◽  
Vol 06 (04) ◽  
pp. 1650018 ◽  
Author(s):  
Michal Czerwonko ◽  
Stylianos Perrakis
Keyword(s):  
Diffusion Process ◽  
Transaction Costs ◽  
Portfolio Selection ◽  
Discrete Time ◽  
Continuous Time ◽  
Jump Diffusion ◽  
Numerical Approach ◽  
Proportional Transaction Costs ◽  
Asset Portfolio ◽  
Time Formulation

We derive allocation rules under isoelastic utility for a mixed jump-diffusion process in a two-asset portfolio selection problem with finite horizon in the presence of proportional transaction costs. We adopt a discrete-time formulation, let the number of periods go to infinity, and show that it converges efficiently to the continuous-time solution for the cases where this solution is known. We then apply this discretization to derive numerically the boundaries of the region of no transactions. Our discrete-time numerical approach outperforms alternative continuous-time approximations of the problem.

A Discrete-Time Portfolio Selection with Uncertainty of Stock Prices

2003 ◽  
pp. 245-252 ◽  
Author(s):  
Yuji Yoshida ◽  
Masami Yasuda ◽  
Jun-ichi Nakagami ◽  
Masami Kurano
Keyword(s):  
Portfolio Selection ◽  
Discrete Time ◽  
Stock Prices

Portfolio Selection Theory with Different Interest Rates for Borrowing and Leading

2004 ◽  
Vol 28 (1) ◽  
pp. 67-95 ◽  
Author(s):  
Shunming Zhang ◽  
Shunming Zhang ◽  
Shouyang Wang ◽  
Xiaotie Deng
Keyword(s):  
Interest Rates ◽  
Portfolio Selection ◽  
Selection Theory

scholarly journals Portfolio selection theory and wildlife management

ORiON ◽  
2008 ◽  
Vol 24 (2) ◽  
Author(s):  
JW Hearne ◽  
T Santika ◽  
P Goodman
Keyword(s):  
Portfolio Selection ◽  
Wildlife Management ◽  
Selection Theory
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