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|Title:||Optimal portfolio control with trading strategies of finite variation|
|Keywords:||Log-optimal portfolio;Optimal control|
|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.|
|Appears in Collections:||Mathematical Science|
Dept of Mathematics Research Papers
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