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Robust multiperiod portfolio management in the presence of transaction costs

✍ Scribed by Dimitris Bertsimas; Dessislava Pachamanova

Book ID: 108105757
Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 213 KB
Volume: 35
Category: Article
ISSN: 0305-0548
DOI: 10.1016/j.cor.2006.02.011

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## SUMMARY We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset, affecting the price of the asset and possibly incurring a fixed transaction cost. The objective is to maximize t