An affine control method for optimal dynamic asset allocation with transaction costs

SIAM Journal on Control and Optimization

Volumn 48, Issue 4, 2009, Pages 2254-2274

  Calafiore, Giuseppe Carlo ^a  

^a POLITECNICO DI TORINO   (Italy)

Author keywords

Convex optimization; Dynamic optimization; Multistage decision problems; Portfolio optimization; Risk control; Strategic asset allocation; Transaction costs

Indexed keywords

ASSET ALLOCATION; DYNAMIC OPTIMIZATION; MULTISTAGE DECISION PROBLEMS; PORTFOLIO OPTIMIZATION; RISK CONTROLS; TRANSACTION COST;

CONVEX OPTIMIZATION; FINANCIAL DATA PROCESSING; INVESTMENTS;

COSTS; CONVEX OPTIMIZATION;

EID: 77957800050     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/080723776     Document Type: Article

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