Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

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. The numerical method solves dynamic optimal portfolio problems 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

MoreLess

Year of publication:	2014
Authors:	Palczewski, Jan
Other Persons:	Poulsen, Rolf (contributor) ; Schenk-Hoppé, Klaus Reiner (contributor) ; Wang, Huamao (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Transaktionskosten \| Transaction costs \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Dynamische Optimierung \| Dynamic programming

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013062391