Dynamic portfolio optimization with transaction costs and state-dependent drift
(2014)
Journal Article
Palczewski, J., Poulsen, R., Schenk-Hoppé, K. R., & Wang, H. (2015). Dynamic portfolio optimization with transaction costs and state-dependent drift. European Journal of Operational Research, 243(3), 921-931. https://doi.org/10.1016/j.ejor.2014.12.040
© 2015 Elsevier B.V. All rights reserved. The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation, we present an e... Read More about Dynamic portfolio optimization with transaction costs and state-dependent drift.