Balancing small transaction costs with loss of optimal allocation in dynamic stock trading strategies

SIAM Journal on Applied Mathematics

Volumn 70, Issue 6, 2010, Pages 1977-1998

  Goodman, Jonathan ^a   Ostrov, Daniel N ^b  

^a NEW YORK UNIVERSITY   (United States)

^b Santa Clara University   (United States)

Author keywords

Asymptotics; Cost minimization; General utility function; Oblique boundary conditions; Portfolio optimization; Transaction costs

Indexed keywords

ASYMPTOTICS; COST MINIMIZATION; GENERAL UTILITY FUNCTION; PORTFOLIO OPTIMIZATION; TRANSACTION COST; UTILITY FUNCTIONS;

ASYMPTOTIC ANALYSIS; BOUNDARY CONDITIONS; COMMERCE; COST FUNCTIONS; FINANCIAL DATA PROCESSING; LAGRANGE MULTIPLIERS; OPTIMIZATION; PROBABILITY DENSITY FUNCTION;

COSTS;

EID: 77951182026     PISSN: 00361399     EISSN: None     Source Type: Journal    
DOI: 10.1137/07070334X     Document Type: Article

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