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Portfolio selection in discrete time with transaction costs and power utility function : a perturbation analysis

Quek, Gary; Atkinson, Colin - In: Applied mathematical finance 24 (2017) 1/2, pp. 77-111

Persistent link: https://www.econbiz.de/10011746994

Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs

Atkinson, Colin; Quek, Gary - In: Applied Mathematical Finance 19 (2012) 3, pp. 265-298

A discrete-time model of portfolio optimization is studied under the effects of proportional transaction costs. A general class of underlying probability distributions is assumed for the returns of the asset prices. An investor with an exponential utility function seeks to maximize the utility...

Persistent link: https://www.econbiz.de/10010692538

Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs

Atkinson, Colin; Quek, Gary - In: Applied mathematical finance 19 (2012) 3, pp. 265-299

Persistent link: https://www.econbiz.de/10009983144

On an investment-consumption model with transaction costs : an asymptotic analysis

Atkinson, Colin - In: Applied mathematical finance 4 (1997) 2, pp. 109-133

Persistent link: https://www.econbiz.de/10001226695

Towards the determination of utility preference from optimal portfolio selections

Atkinson, Colin; Mokkhavesa, Sutee - In: Applied mathematical finance 8 (2001) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10001625413

Intertemporal portfolio optimization with small transaction costs and stochastic variance

Atkinson, Colin; Mokkhavesa, S. - In: Applied mathematical finance 10 (2003) 4, pp. 267-302

Persistent link: https://www.econbiz.de/10001864221

Portfolio management with transaction costs : an asymptotic analysis of the Morton and Pliska model

Atkinson, Colin - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 357-367

Persistent link: https://www.econbiz.de/10001189276

A possible way of estimating options with stable distributed underlying asset prices

Tsibiridi, C.; Atkinson, Colin - In: Applied mathematical finance 11 (2004) 1, pp. 51-75

Persistent link: https://www.econbiz.de/10002001538

Multi-asset portfolio optimization with transaction cost

Atkinson, Colin; Mokkhavesa, S. - In: Applied mathematical finance 11 (2004) 2, pp. 95-123

Persistent link: https://www.econbiz.de/10002085489

Pricing a European basket option in the presence of proportional transaction costs

Atkinson, Colin; Alexandropoulos, C. A. - In: Applied mathematical finance 13 (2006) 3, pp. 191-214

Persistent link: https://www.econbiz.de/10003383647