Discrete Portfolio Adjustment with Fixed Transaction Costs

Linus Wilson

back

References:

[1] Arrow, K. J., (1965), "The Theory of Risk Aversion," in Aspects of the Theory of Risk Bearing, Helsinki: Yrjo Jahnssonin Saatio.

[2] Barber, B. M., and Terrance O., (2001), "Boys will be Boys: Gender, Overconfidence, and Common Stock Investment," Quarterly Journal of Economics, 116(1), 261-292.

[3] Bellman, R., Dynamic Programming, Princeton, NJ: Princeton University Press, 1957.

[4] Bonelli, M. and Bossy M., (2017) “Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment,” Social Science Research Network (SSRN) Working Paper, Accessed Online on May 16, 2017, at https://ssrn.com/abstract=2959955 .

[5] Cherny, V. and Obłój, J. (2013). “Portfolio Optimisation Under Non-Linear Drawdown Constraints in a Semimartingale Financial Model,” Finance and Stochastics, 17(4):771–800.

[6] Constantinides, G. M., (1979), “Multiperiod Consumption and Investment Behavior with Convex Transaction Costs,” Management Science, 25(11), 1127-1137.

[7] Freund, R. J., (1956), “The Introduction of Risk into a Programming Model,” Econometrica, 24(3), 253-263.

[8] Markowitz, H.M, (1952), “Portfolio Selection,” Journal of Finance, 7(1), 77–91.

[9] Markowitz, H. M., and van Dijk L. E., (2003), “Single-Period Mean-Variance Analysis in a Changing World,” Financial Analysts Journal, 59(2), 30-44.

[10] Rishi, K. N., (2009), Inside the Black Box: The Simple Truth about Quantitative Trading, Hoboken, New Jersey: John Wiley and Sons.

[11] Pratt, J. W., (1964), "Risk Aversion in the Small and in the Large," Econometrica 32, January–April 1964, 122-136.

[12] Von Neumann, J., and Morgenstern O., (1947), The T heory of Games and Economic Behavior, 2 nd edition, Princeton: Princeton University Press.

[13] Sun, W., Fan, A., Chen, LW., Schouwenaars, T., and Albota, M.A. (2006), Journal of Portfolio Management, 32(2), 33-43.

[14] Zabel, E., (1973), “Consumer Choice, Portfolio Decisions, and Transaction Costs,” Econometrica, 41(2), 321-335.

Copyright © 2009 | All rights reserved