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Optimal tracking for asset allocation with fixed and proportional transaction costs
14 references·3 citing·38 second hop
Optimal tracking for asset allocation with fixed and proportional transaction costs (2004)Optimal tracking for asset allocation wit…Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Optimal Consumption and Inves…Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs (2002)Optimal Consumption and Portf…Risk sensitive asset management with transaction costs (2000)Risk sensitive asset manageme…Some applications of impulse control in mathematical finance (1999)Some applications of impulse …Optimal Central Bank Intervention in the Foreign Exchange Market (1999)Optimal Central Bank Interven…Portfolio optimisation with strictly positive transaction costs and impulse control (1998)Portfolio optimisation with s…On an Investment-Consumption Model with Transaction Costs (1996)On an Investment-Consumption …OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)OPTIMAL PORTFOLIO MANAGEMENT …Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Stochastic Control by Functional Analysis Methods (1982)Stochastic Control by Functio…Stochastic Cash Management with Fixed and Proportional Transaction Costs (1976)Stochastic Cash Management wi…Portfolio selection with transactions costs (1976)Portfolio selection with tran…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Automated portfolio rebalancing: Automatic erosion of investment performance? (2020)Automated portfolio rebalanci…Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches (2012)Risks, Returns, and Optimal H…Portfolio Rebalancing in Theory and Practice (2007)Portfolio Rebalancing in Theo…An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Brownian Motion and Stochastic Calculus (2007)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equations (2003)A model of optimal portfolio selection under liquidity risk and price impact (2006)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Hysteresis, Import Penetration, and Exchange Rate Pass-Through (1989)Target Zones and Realignments (1990)Target Zones and Exchange Rate Dynamics (1991)The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Capital Market Equilibrium with Transaction Costs (1986)Liquidity shocks and equilibrium liquidity premia (2003)Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)Controlled Markov Processes and Viscosity Solutions (2005)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)A Theory of Intraday Patterns: Volume and Price Variability (1988)Liquidity Premia and Transaction Costs (2007)Portfolio Choice Problems (2010)Dynamic portfolio choice with frictions (2016)Lectures in stochastic control (1983)General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations (2003)Ergodic Control of Diffusion Processes (2011)Periodic market closure and trading volume (1992)Participation Costs and the Sensitivity of Fund Flows to Past Performance (2007)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1976Portfolio selection with transactions costs431 cited
  • 2004Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets305 cited
  • 1995OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS219 cited
  • 1982Stochastic Control by Functional Analysis Methods204 cited
  • 2002Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs185 cited
  • 1996On an Investment-Consumption Model with Transaction Costs180 cited
  • 1999Optimal Central Bank Intervention in the Foreign Exchange Market167 cited
  • 1998Portfolio optimisation with strictly positive transaction costs and impulse control161 cited
  • 1999Some applications of impulse control in mathematical finance132 cited
  • 1976Stochastic Cash Management with Fixed and Proportional Transaction Costs97 cited
  • 2000Risk sensitive asset management with transaction costs93 cited

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  • 2007Portfolio Rebalancing in Theory and Practice

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47 cited
  • 2020Automated portfolio rebalancing: Automatic erosion of investment performance?35 cited
  • 2012Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches25 cited