Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

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Standard

Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift. / Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppe, Klaus Reiner; Wang, Huamao.

I: European Journal of Operational Research, Bind 243, Nr. 3, 2015, s. 921–931.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Palczewski, J, Poulsen, R, Schenk-Hoppe, KR & Wang, H 2015, 'Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift', European Journal of Operational Research, bind 243, nr. 3, s. 921–931. https://doi.org/10.1016/j.ejor.2014.12.040

APA

Palczewski, J., Poulsen, R., Schenk-Hoppe, 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

Vancouver

Palczewski J, Poulsen R, Schenk-Hoppe KR, Wang H. Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift. European Journal of Operational Research. 2015;243(3):921–931. https://doi.org/10.1016/j.ejor.2014.12.040

Author

Palczewski, Jan ; Poulsen, Rolf ; Schenk-Hoppe, Klaus Reiner ; Wang, Huamao. / Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift. I: European Journal of Operational Research. 2015 ; Bind 243, Nr. 3. s. 921–931.

Bibtex

@article{0e81f1f8b47b4d83a17eca7be72ccf55,
title = "Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift",
abstract = "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 efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or the actual drift is unknown and needs to be estimated. Our numerical method solves dynamic optimal portfolio problems with an exponential utility function for time-horizons of up to 40 years. It is applied to measure the value of information and the loss from transaction costs using the indifference principle.",
author = "Jan Palczewski and Rolf Poulsen and Schenk-Hoppe, {Klaus Reiner} and Huamao Wang",
year = "2015",
doi = "10.1016/j.ejor.2014.12.040",
language = "English",
volume = "243",
pages = "921–931",
journal = "European Journal of Operational Research",
issn = "0377-2217",
publisher = "Elsevier",
number = "3",

}

RIS

TY - JOUR

T1 - Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

AU - Palczewski, Jan

AU - Poulsen, Rolf

AU - Schenk-Hoppe, Klaus Reiner

AU - Wang, Huamao

PY - 2015

Y1 - 2015

N2 - 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 efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or the actual drift is unknown and needs to be estimated. Our numerical method solves dynamic optimal portfolio problems with an exponential utility function for time-horizons of up to 40 years. It is applied to measure the value of information and the loss from transaction costs using the indifference principle.

AB - 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 efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or the actual drift is unknown and needs to be estimated. Our numerical method solves dynamic optimal portfolio problems with an exponential utility function for time-horizons of up to 40 years. It is applied to measure the value of information and the loss from transaction costs using the indifference principle.

U2 - 10.1016/j.ejor.2014.12.040

DO - 10.1016/j.ejor.2014.12.040

M3 - Journal article

VL - 243

SP - 921

EP - 931

JO - European Journal of Operational Research

JF - European Journal of Operational Research

SN - 0377-2217

IS - 3

ER -

ID: 130023186