Multi-Period Portfolio Selection with Transaction Costs
We discuss a multi-period portfolio selection problem with transaction costs in this paper.We assume that the sample space is finite,and the possible securities price vector transitions is equivalent to the number of securities.By introducing a set of auxiliary martingales,we connect the primal problem with a set of optimization problems without transaction costs.We find that the dual problem,which is to minimize the optimal value for the set of optimization problems,is equivalent to the primal problem,if it exists.
ransaction costs Multi-period portfolio se-lection martingale method risk neutral probability.
Lan Yi
Management School Jinan University Guangzhou 510632,P.R.China
国际会议
重庆
英文
98-103
2010-09-17（万方平台首次上网日期，不代表论文的发表时间）