An Exact Solution to a Portfolio Choice Problem under Transactions Costs

Détails

ID Serval
serval:BIB_614564B2D88D
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
An Exact Solution to a Portfolio Choice Problem under Transactions Costs
Périodique
Journal of Finance
Auteur(s)
Dumas, B., Luciano, E. 
Statut éditorial
Publié
Date de publication
1991
Volume
46
Numéro
2
Pages
577-595
Résumé
The presence of any friction in financial markets qualitatively changes the nature of the optimization problem faced by an investor. It requires one to either act or do nothing, an issue which, of course, does not arise in frictionless situations. The investor considered here accumulates wealth without consuming until some terminal point in time when he consumes all. His objective is to maximize the expected utility derived from that terminal consumption. We postpone the terminal point far into the future to obtain a stationary portfolio rule. The portfolio policy is in the form of two control barriers between which portfolio proportions are allowed to fluctuate. We show how to calculate them.
Création de la notice
19/11/2007 10:29
Dernière modification de la notice
20/08/2019 14:18
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