Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.53 ◽

2009 ◽

Keyword(s):

Transaction Costs ◽

Viscosity Solutions ◽

Portfolio Allocation ◽

Optimal Portfolio ◽

Random Time ◽

Allocation Problems ◽

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Optimal portfolio allocation for long-term growth of wealth in the presence of transaction costs

10.31274/rtd-20201107-430 ◽

2005 ◽

Author(s):

Ricardo A Rodriguez-Pedraza

Keyword(s):

Transaction Costs ◽

Portfolio Allocation ◽

Optimal Portfolio

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Optimal Portfolio Choice Under Partial Information and Transaction Costs (PhD thesis)

SSRN Electronic Journal ◽

10.2139/ssrn.1664427 ◽

2010 ◽

Author(s):

Huamao Wang

Keyword(s):

Transaction Costs ◽

Portfolio Choice ◽

Partial Information ◽

Optimal Portfolio ◽

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A Forward-Solving Numerical Technique for Dynamic Consumption and Portfolio Allocation Problems

SSRN Electronic Journal ◽

10.2139/ssrn.687622 ◽

2005 ◽

Author(s):

George Chacko ◽

Maxim Golts ◽

Mihir A. Desai ◽

Vladimir Novakovsky

Keyword(s):

Numerical Technique ◽

Portfolio Allocation ◽

Allocation Problems

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Optimal Portfolio Allocation Under Asset and Surplus VAR Constraints

SSRN Electronic Journal ◽

10.2139/ssrn.1630378 ◽

2009 ◽

Author(s):

Alain Monfort

Keyword(s):

Portfolio Allocation ◽

Optimal Portfolio

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Optimal portfolio allocation in a world without Treasury securities

Journal of Asset Management ◽

10.1057/palgrave.jam.2240092 ◽

2003 ◽

Vol 4 (1) ◽

pp. 10-21

Author(s):

Antulio N Bomfim

Keyword(s):

Portfolio Allocation ◽

Optimal Portfolio ◽

Treasury Securities

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Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs

Advances in Computer Science and Engineering: Texts - Machine Learning for Financial Engineering ◽

10.1142/9781848168145_0003 ◽

2012 ◽

pp. 119-152 ◽

Author(s):

László Györfi ◽

Harro Walk

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Proportional Transaction Costs ◽

Selection Strategies ◽

Optimal Portfolio Selection

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Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales

Lecture Notes in Economics and Mathematical Systems - Portfolio Selection and Asset Pricing ◽

10.1007/978-3-642-55934-1_4 ◽

2002 ◽

pp. 55-72 ◽

Author(s):

Shouyang Wang ◽

Yusen Xia

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Short Sales ◽

Optimal Portfolio Selection ◽

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Chapter 8 Perturbation Methods for Dynamic Portfolio Allocation Problems

Theory and Methodology - Handbook of Asset and Liability Management ◽

10.1016/s1872-0978(06)01008-8 ◽

2006 ◽

pp. 337-384

Author(s):

George Chacko ◽

Karl Neumar

Keyword(s):

Perturbation Methods ◽

Portfolio Allocation ◽

Allocation Problems ◽

Dynamic Portfolio

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Random Time Changes

Wiley Series in Probability and Statistics - Markov Processes ◽

10.1002/9780470316658.ch6 ◽

2008 ◽

pp. 306-336

Keyword(s):

Random Time ◽

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Green Bonds and Global Optimal Portfolio Allocation

Advances in Pacific Basin Business, Economics and Finance ◽

10.1108/s2514-465020210000009011 ◽

2021 ◽

pp. 211-223

Author(s):

Naoyuki Yoshino ◽

Muhammad Zubair Mumtaz

Keyword(s):

Portfolio Allocation ◽

Optimal Portfolio ◽

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