Correlated multi-asset portfolio optimisation with transaction cost

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We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results are supported by numerical simulations in the context of the Long Term Growth Model.
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Portfolio Management, Data Analysis, Statistics and Probability, Physics and Society

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http://salesiana.dossiersoluciones.com/handle/123456789/229177

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0705.1949
 http://arxiv.org/abs/0705.1949

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arXiv