An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

The Journal of Finance ◽

10.1111/j.1540-6261.1991.tb02675.x ◽

1991 ◽

Vol 46 (2) ◽

pp. 577-595 ◽

Author(s):

BERNARD DUMAS ◽

ELISA LUCIANO

Keyword(s):

Exact Solution ◽

Portfolio Choice ◽

Transactions Costs ◽

Choice Problem ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Investment selection and individual portfolio management An exact solution to a dynamic portfolio choice problem under transaction costs, by Bernard Dumas (University of Pennsylvania and National Bureau of Economic Research) and Elisa Luciano (Università di Torino, Italy)

Financial Services Review ◽

10.1016/1057-0810(91)90047-3 ◽

1992 ◽

Vol 1 (2) ◽

pp. 182

Keyword(s):

Exact Solution ◽

Transaction Costs ◽

Portfolio Choice ◽

Portfolio Management ◽

Economic Research ◽

University Of Pennsylvania ◽

National Bureau ◽

Choice Problem ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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The current account as a dynamic portfolio choice problem

Journal of the Japanese and International Economies ◽

10.1016/j.jjie.2012.08.005 ◽

2012 ◽

Vol 26 (4) ◽

pp. 518-541 ◽

Author(s):

Tatiana Didier ◽

Alexandre Lowenkron

Keyword(s):

Portfolio Choice ◽

Current Account ◽

Choice Problem ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice ◽

The Current Account

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The Current Account as a Dynamic Portfolio Choice Problem

SSRN Electronic Journal ◽

10.2139/ssrn.1363933 ◽

2009 ◽

Author(s):

Tatiana Didier ◽

Alexandre Lowenkron

Keyword(s):

Portfolio Choice ◽

Current Account ◽

Choice Problem ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice ◽

The Current Account

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The current account as a dynamic portfolio choice problem

10.1596/1813-9450-4861 ◽

2009 ◽

Author(s):

Tatiana Didier ◽

Alexandre Lowenkron

Keyword(s):

Portfolio Choice ◽

Current Account ◽

Choice Problem ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice ◽

The Current Account

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Efficient Parallel Solution Methods for Dynamic Portfolio Choice Models in Discrete Time

SSRN Electronic Journal ◽

10.2139/ssrn.2665031 ◽

2015 ◽

Author(s):

Vanya Horneff ◽

Raimond Maurer ◽

Peter Schober

Keyword(s):

Portfolio Choice ◽

Discrete Time ◽

Choice Models ◽

Parallel Solution ◽

Solution Methods ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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The Liquidity Risk Premium Demanded by Large Investors: Dynamic Portfolio Choice with Stochastic Illiquidity

SSRN Electronic Journal ◽

10.2139/ssrn.2711718 ◽

2015 ◽

Author(s):

Joost Driessen ◽

Ran Xing

Keyword(s):

Portfolio Choice ◽

Risk Premium ◽

Liquidity Risk ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Dynamic Portfolio Choice: A Simulation Approach

SSRN Electronic Journal ◽

10.2139/ssrn.271188 ◽

2001 ◽

Author(s):

Michael W. Brandt ◽

Amit Goyal ◽

Pedro Santa-Clara

Keyword(s):

Portfolio Choice ◽

Simulation Approach ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Robust Dynamic Portfolio Choice Based on Out-Of-Sample Performance

SSRN Electronic Journal ◽

10.2139/ssrn.3434092 ◽

2019 ◽

Author(s):

Rainer Alexander Schüssler

Keyword(s):

Portfolio Choice ◽

Out Of Sample ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Generalized Euler Equation Errors for Discrete Time Dynamic Portfolio Choice Models

SSRN Electronic Journal ◽

10.2139/ssrn.3448482 ◽

2019 ◽

Author(s):

Yannick Dillschneider ◽

Raimond Maurer ◽

Peter Schober

Keyword(s):

Euler Equation ◽

Portfolio Choice ◽

Discrete Time ◽

Choice Models ◽

Time Dynamic ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Dynamic Portfolio Choice with Stochastic Wage and Life Insurance

North American Actuarial Journal ◽

10.1080/10920277.2015.1041987 ◽

2015 ◽

Vol 19 (4) ◽

pp. 256-272 ◽

Author(s):

Xudong Zeng ◽

Yuling Wang ◽

James M. Carson

Keyword(s):

Portfolio Choice ◽

Life Insurance ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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