Please use this identifier to cite or link to this item:
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.
ISBN: 0-7803-9567-0
Appears in Collections:Publications
Dept of Mathematics Research Papers
Mathematical Sciences

Files in This Item:
File Description SizeFormat 
01582877.pdf235.4 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.