Optimal tracking for asset allocation with fixed and proportional transaction costs

By Stanley R. Pliska, Kiyoshisa Suzuki. 2004

50 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6cf3871c4640340021a74d8abcf288b50b60ddd7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. R. Seydel

In Finance

1. R. Seydel
2. Jim G. Dai
3. Dacheng Yao

Citations in the corpus

• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (2009, background): “For further applications in finance see the overview in [25], or specific examples concerning option pricing with transaction costs ([36,15, 10]), optimal portfolios ([34,32,30,24]), options in long-term insurance contracts [12], or control of an exchange rate by the Central Bank ([29,11]).”
• Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls (2013, background): “For example, [24] and [69] studied optimal index tracking of a benchmark index when there are transaction costs.”