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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
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FIN_WP_2014_1.pdf (251.4Kb)
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http://hdl.handle.net/11250/170385
Utgivelsesdato
2014
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  • Working papers (FIN) [9]
Sammendrag
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.
Utgiver
Norwegian School of Economics. Department of Finance
Serie
Working paper;2014:1

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