Blar i Department of Finance på forfatter "Poulsen, Rolf"
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Dynamic portfolio optimization with transaction costs and state-dependent drift
Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Wang, Huamao (Working paper;2014:1, Working paper, 2014)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 ...