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http://bura.brunel.ac.uk/handle/2438/1643| Title: | Optimal portfolio control with trading strategies of finite variation |
| Authors: | Gashi, B Date, P |
| Keywords: | Log-optimal portfolio;Optimal control |
| Issue Date: | 2005 |
| Publisher: | IEEE |
| Citation: | 44th IEEE Conference on Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05, 12-15 December 2005 |
| Abstract: | We propose a method for portfolio selection where the trading strategies are constrained to have a finite variation. A simulation example shows a significant reduction in trasaction costs as compared to log-optimal portfolio, for almost same final wealth. |
| URI: | http://bura.brunel.ac.uk/handle/2438/1643 |
| ISBN: | 0-7803-9567-0 |
| Appears in Collections: | Publications Dept of Mathematics Research Papers Mathematical Sciences |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 01582877.pdf | 235.4 kB | Adobe PDF | View/Open |
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