Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

Portfolio selection in multidimensional general and partial moment space

“…Second, Kim and White (2004) recently raise the issue of the robustness of current ways of computing the higher moments, i.e., skewness and kurtosis, and indicate that results on the skewness and kurtosis of stock market returns are heavily influenced by outliers. Another desirable extension is to develop multiperiod deterministic or stochastic formulations of this shortage function approach (see, e.g., Chellathurai andDraviam, 2007 or Zenios et al, 1998).…”

Research on Investment-Consumption Problem with Proportional Transaction Costs

“…We take the same market characterization as in paper [3]. The portfolio consists of a risk-free asset, and a risky asset whose price is driven by geometric Brownian motion.…”

“…Recently, dynamic portfolio selection problem with transaction costs was researched in the paper [3] by the non singular stochastic optimal control approach. Based on the paper [3], we research dynamic investment-consumption problem with proportional transaction costs.…”

“…Based on the paper [3], we research dynamic investment-consumption problem with proportional transaction costs. We expand conclusions of the paper [3] from two aspects: Firstly, we consider the dynamic investment-consumption problem; Secondly, we obtain the explicit expressions of the optimal buying, selling and consumption policies using the utility's homothetic.…”

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation

“…A popular approach for optimal stochastic control problems in finance is to use utility functions (Cairns et al, 2006;Damgaard, 2006;Muthuraman, 2007;Chellathurai and Draviam, 2007;Munk, 2000). This approach usually results in financial models which also generate HJB PDEs.…”