Optimal Portfolio Selection with Transaction Costs and Finite Horizons

By Hong Liu, Mark Loewenstein. 2002

281 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9cf733c5db48ddefea31d96101b6df69fca7eaa7

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Citations in the corpus

Option pricing with an illiquid underlying asset market (2005, background): “This is because exact replication involves continuous trading and thus incurs infinite costs (Liu and Loewenstein (2002), Liu (2004)).”
On using shadow prices in portfolio optimization with transaction costs (2010, background): “in the finite horizon case [1, 9, 28 ], the case of multiple stocks [1] and stocks modelled as jump diffusions [12].”
Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004, background): “…addresses the optimal transaction policy for an agent facing a proportional transaction cost in trading a single risky asset (see, e.g., Constantinides (1986), Davis and Norman (1990), Dumas and Luciano (1991), Shreve and Soner (1994), Cuoco and Liu (2000), and Liu and Loewenstein (2002)).”
Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem (2009, unknown): “Remark 4.8. (4.2) and (4.4) in Theorem 4.5 and part (i) in Theorem 4.7 are also obtained by Liu and Loewenstein [ 16 ] in terms of another approach.”
Liquidity Premia and Transaction Costs (2007, background): “The smoothness issue is examined in Shreve and Soner (1994) for the case k = 0 and in Liu and Loewenstein (2002) for k = 1 in models with no regime shifting.”
Penalty Methods for Continuous-Time Portfolio Selection withProportional Transaction Costs (2010, background): “All these results are consistent with the theoretical analysis in Liu and Loewenstein (2002), Dai and Yi (2006) and Dai et al. (2007).”
Thou shalt buy and hold (2008, background): “…10.1080/14697680802563732 reduced; in fact in this case there are buying, selling and no-trade regions and an optimal strategy is to move the wealth process to the no-trade region as soon as possible and stay there as far as possible (Davis et al. 1993, Liu and Loewenstein 2002, Dai et al. 2008a).”