scholarly journals Impulse control and its application in portfolio and hedging with both fixed and proportional transaction costs

2014 ◽  
Vol 2014 ◽  
pp. 1-13
Author(s):  
A. Delavarkhalafi ◽  
M. Karbaschi
Keyword(s):  
Transaction Costs ◽  
Impulse Control ◽  
Proportional Transaction Costs

Optimal Index Tracking Under Transaction Costs and Impulse Control

1998 ◽  
Vol 01 (03) ◽  
pp. 315-330 ◽  
Author(s):  
I. R. C. Buckley ◽  
R. Korn
Keyword(s):  
Transaction Costs ◽  
Optimal Strategy ◽  
Impulse Control ◽  
Tracking Error ◽  
Management Problem ◽  
Index Tracking ◽  
Cash Management ◽  
Proportional Transaction Costs ◽  
Control Techniques ◽  
Mean Variance

We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.

scholarly journals Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part II

2007 ◽  
Vol 2007 ◽  
pp. 1-25 ◽  
Author(s):  
Mou-Hsiung Chang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Impulse Control ◽  
Stock Price ◽  
Optimization Problem ◽  
Proportional Transaction Costs ◽  
Infinite Dimensional ◽  
Hereditary Nature ◽  
Portfolio Optimization Problem ◽  
The Value Function

This paper is the continuation of the paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can make transactions between the two assets subject to paying capital-gain taxes as well as a fixed plus proportional transaction cost. The investor is to seek an optimal consumption-trading strategy in order to maximize the expected utility from the total discounted consumption. The portfolio optimization problem is formulated as an infinite dimensional stochastic classical impulse control problem due to the hereditary nature of the stock price dynamics and inventories. This paper contains the verification theorem for the optimal strategy. It also proves that the value function is a viscosity solution of the QVHJBI.

scholarly journals Robust hedging with proportional transaction costs

2014 ◽  
Vol 18 (2) ◽  
pp. 327-347 ◽  
Author(s):  
Yan Dolinsky ◽  
H. Mete Soner
Keyword(s):  
Transaction Costs ◽  
Proportional Transaction Costs ◽  
Robust Hedging
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