scholarly journals An Optimal Transaction Intervals for Portfolio Selection Problem with Bullet Transaction Cost

2017 ◽  
Author(s):  
SYAHRIL
Keyword(s):  
Interest Rate ◽  
Control Problem ◽  
Transaction Cost ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Investment Decision ◽  
Risky Asset ◽  
Selection Problem ◽  
Transactions Costs ◽  
Time Control

This paper discusses an optimal transaction interval for a consumption and investment decision problemfor an~individual who has available a~risklessasset paying fixed interest rate and a~risky asset driven byBrownian motion price fluctuations.The individual observes current wealth when making transactions, that transactions incur costs,and that decisions to transact can be made at any time based on all current information.The transactions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction oftotal wealth as management fee. The investor's objective is to maximize the expectedutility of consumption over a given horizon.The problem faced by the investor is formulated in a stochastic discrete-continuous-time control problem. An optimal transaction interval for the inverstor is derived.

scholarly journals AN OPTIMAL TRANSACTION INTERVALS FOR PORTFOLIO SELECTION PROBLEM WITH BULLET TRANSACTION COS

2004 ◽  
Vol 3 (1) ◽  
pp. 11
Author(s):  
E. SYAHRIL
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Decision Problem ◽  
Investment Decision ◽  
Time Control ◽  
The Individual ◽  
Riskless Asset ◽  
Total Wealth

This paper discusses an optimal transaction interval for a consumption and investment decision problem for an indi- vidual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian motion price fluctuations. The individual observes current wealth when making transactions, that transactions incur costs, and that decisions to transact can be made at any time based on all current information. The trans- actions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction of total wealth as management fee. The investor’s objective is to maximize the expected utility of consumption over a given horizon. The problem faced by the investor is formulated in a stochastic discrete-continuous-time control problem. An optimal transaction interval for the inverstor is derived.

scholarly journals AN OPTIMAL CONTROL FORMULATION OF PORTFOLIO SELECTION PROBLEM WITH BULLET TRANSACTION COST

2003 ◽  
Vol 2 (1) ◽  
pp. 25
Author(s):  
E. SYAHRIL
Keyword(s):  
Optimal Control ◽  
Interest Rate ◽  
Continuous Time ◽  
Decision Problem ◽  
Investment Decision ◽  
Transactions Costs ◽  
Time Control ◽  
The Individual ◽  
Riskless Asset ◽  
Total Wealth

This paper formulates a consumption and investment decision problem for an individual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian mo- tion price fluctuations. The individual is supposed to observe his or her current wealth only, when making transactions, that trans- actions incur costs, and that decisions to transact can be made at any time based on all current information. The transactions costs is fixed for every transaction, regardless of amount trans- acted. In addition, the investor is charged a fixed fraction of total wealth as management fee. The investor’s objective is to max- imize the expected utility of consumption over a given horizon. The problem faced by the investor is formulated into a stochastic discrete-continuous-time control problem.

scholarly journals AN INVESTMENT STRATEGY IN PORTFOLIO SELECTION PROBLEM WITH BULLET TRANSACTION COST

2003 ◽  
Vol 2 (2) ◽  
pp. 1
Author(s):  
E. SYAHRIL
Keyword(s):  
Brownian Motion ◽  
Continuous Time ◽  
Decision Problem ◽  
Investment Decision ◽  
Investment Strategy ◽  
Transactions Costs ◽  
Time Control ◽  
The Individual ◽  
Riskless Asset ◽  
Total Wealth

This paper discusses an investment strategy for a con- sumption and investment decision problem for an individual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian motion price fluctuations. The individual observes current wealth when making transactions, that transac- tions incur costs, and that decisions to transact can be made at any time based on all current information. The transactions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction of total wealth as management fee. The investor’s objective is to maximize the expected utility of consumption over a given horizon. The prob- lem faced by the investor is formulated in a stochastic discrete- continuous-time control problem. An investment strategy is given for fixed transaction intervals.

scholarly journals Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time

Algorithms ◽  
2021 ◽  
Vol 14 (8) ◽  
pp. 252
Author(s):  
Weiping Wu ◽  
Lifen Wu ◽  
Ruobing Xue ◽  
Shan Pang
Keyword(s):  
Portfolio Selection ◽  
Continuous Time ◽  
Value Function ◽  
Optimal Solution ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Cone Constraints ◽  
Lq Optimal Control ◽  
Mean Variance Portfolio ◽  
Portfolio Policy

This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal portfolio policy of our model. In addition, we provide an alternative method to resolve this dynamic MV portfolio selection problem with cone constraints. More specifically, instead of solving the correspondent HJB equation directly, we develop the optimal solution for this problem by using the special properties of value function induced from its model structure, such as the monotonicity and convexity of value function. Finally, we provide an example to illustrate how to use our solution in real application. The illustrative example demonstrates that our dynamic MV portfolio policy dominates the static MV portfolio policy.

scholarly journals A Contribution on Stochastic Optimal Control to Quantitative Finance

2018 ◽  
Author(s):  
SYAHRIL
Keyword(s):  
Optimal Control ◽  
Interest Rate ◽  
Nonlinear Equation ◽  
Stochastic Optimal Control ◽  
Investment Decision ◽  
Optimal Solution ◽  
Investment Strategies ◽  
Transactions Costs ◽  
Quantitative Finance ◽  
Total Wealth

This work considers a consumption and investment decision problemfor an~individual who has available a~risklessasset paying fixed interest rate and a~risky asset driven byBrownian motion price fluctuations.The individual is supposed to observe his orher current wealth only, when making transactions, that transactions incur costs,and that decisions to transact can be made at any time based on all current information.The transactions costs under consideration could be a fixed, linear or a nonlinear functionof the amount transacted. In addition, the investor is charged a fixed fraction oftotal wealth as management fee. The investor's objective is to maximize the expectedutility of consumption over a given horizon.On the basis of this model, the existence of an optimal solution is given.Optimal consumption and investment strategies are obtained in closed formfor each type of transaction costs function.In addition, the optimalinterval of time between transactions is also derived.Results show that, for each transaction cost, transaction interval satisfies a nonlinear equation,which depends on total wealth at the beginning of that intervals.If, at each tran-saction, there is no costs involved other than that of management feewhich is a fixed fraction of current portfolio value, then the optimalinterval of time between transactions is fixed, independent of time and currentwealth.

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