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Optimal portfolio selection with transaction costs when an illiquid asset pays cash dividends

장봉규
대한수학회 (The Korean Mathematical Society)|2007.01|대한수학회지 (Journal of the KMS)|제44권 제1호|pp. 139-150

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참고문헌

주제분류수학

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Abstract

We investigate an optimal portfolio selection problem withtransaction costs when an iliquid aset pays cash dividend s and there areconstraints on the iliquid aset holding. We provide close d form solutionsfor the problem, and by using these solutions we ilustrate i nterestingfeatures of optimal policies.

참고문헌 (7)

  1. "J. Econom. Theory72", 1, pp.373~
  2. "Math.Oper. Res.15", 4
  3. "Portfolio Investment with the Exact Tax Basis via NonlinearPrograming"
  4. "J. Econom. Dynam. Con-trol 15", 4
  5. "J. Econom. Theory 3", 4 (1971)
  6. "Optimal Consumption and Portflio Selection with Stochas-tic Differential", 89(1), pp.68~126 (1999)
  7. "Special Functions. An introduction to the classical functions of mathe-matical physics" (1996), John Wiley & Sons, New York

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