Dynamic portfolio optimization with transaction costs and state-dependent drift

Palczewski, J, Poulsen, R, Schenk-Hoppé, KR et al. (1 more author) (2015) Dynamic portfolio optimization with transaction costs and state-dependent drift. European Journal of Operational Research, 243 (3). pp. 921-931. ISSN 0377-2217

Abstract

Metadata

Authors/Creators:
  • Palczewski, J
  • Poulsen, R
  • Schenk-Hoppé, KR
  • Wang, H
Copyright, Publisher and Additional Information: © 2014, Elsevier. This is an author produced version of a paper accepted for publication in European Journal of Operational Research. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Dynamic programming; Markov Chain approximation; Numerical methods; State-dependent drift; Transaction costs
Dates:
  • Published: 16 June 2015
  • Accepted: 21 December 2014
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Maths and Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 24 Feb 2015 12:45
Last Modified: 03 Jan 2017 14:31
Published Version: http://dx.doi.org/10.1016/j.ejor.2014.12.040
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.ejor.2014.12.040

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