Correlated multi-asset portfolio optimisation with transaction cost

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dc.creatorLaw, Siu Lung
dc.creatorLee, Chiu Fan
dc.creatorHowison, Sam
dc.creatorDewynne, Jeff N.
dc.date2007-05-14
dc.date2009-05-05
dc.date.accessioned2026-07-07T13:11:04Z
dc.date.available2026-07-07T13:11:04Z
dc.descriptionWe 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.
dc.descriptionManuscript completely rewritten
dc.identifierhttps://arxiv.org/abs/0705.1949
dc.identifierhttp://arxiv.org/abs/0705.1949
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/229177
dc.subjectPortfolio Management
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleCorrelated multi-asset portfolio optimisation with transaction cost
dc.typetext

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