Dynamic portfolio optimization with transaction costs and state-dependent drift.
Jan PalczewskiRolf PoulsenKlaus Reiner Schenk-HoppéHuamao WangPublished in: Eur. J. Oper. Res. (2015)
Keyphrases
- state dependent
- portfolio optimization
- transaction costs
- portfolio management
- portfolio selection
- stock exchange
- optimal policy
- steady state
- markov chain
- problems involving
- stationary distribution
- stock market
- queueing networks
- single server
- stock price
- factor analysis
- objective function
- mathematical programming
- optimization methods