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Palczewski, Jan [Author] ; Poulsen, Rolf [Other]; Schenk-Hoppé, Klaus Reiner [Other]; Wang, Huamao [Other]

Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

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  • Media type: E-Book
  • Title: Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift
  • Contributor: Palczewski, Jan [Author]; Poulsen, Rolf [Other]; Schenk-Hoppé, Klaus Reiner [Other]; Wang, Huamao [Other]
  • Published: [S.l.]: SSRN, [2014]
  • Published in: Norwegian School of Economics (NHH), Department of Finance Working Paper ; No. 2014-1
  • Extent: 1 Online-Ressource (38 p)
  • Language: English
  • DOI: 10.2139/ssrn.2346304
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 6, 2014 erstellt
  • Description: We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or the actual drift is unknown and needs to be estimated. The numerical method solves dynamic optimal portfolio problems for time-horizons of up to 40 years. It is applied to measure the value of information and the loss from transaction costs using the indifference principle
  • Access State: Open Access