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Portfolio Selection and Transactions Costs

✍ Scribed by Michael J. Best; Jaroslava Hlouskova


Book ID
110411477
Publisher
Springer US
Year
2003
Tongue
English
Weight
146 KB
Volume
24
Category
Article
ISSN
0926-6003

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Multi-asset portfolio selection problem
✍ Marianne Akian; Jose Luis Menaldi; AgnΓ¨s Sulem πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 469 KB

This paper considers the optimal consumption and investment policy for an investor who has available one bank account paying a fixed interest rate r and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional to the size of the