Correlated multi-asset portfolio optimisation with transaction cost

Details Correlated multi-asset portfolio optimisation with transaction cost Correlated multi-asset portfolio optimisation with transaction cost

2007-05-14

arxiv.org/abs/0705.1949v3

Economy

Quantitative Finance

Portfolio Management

Manuscript completely rewritten

Scientific paper

We employ perturbation analysis technique to study multi-asset portfolio
optimisation with transaction cost. We allow for correlations in risky assets
and obtain optimal trading methods for general utility functions. Our
analytical results are supported by numerical simulations in the context of the
Long Term Growth Model.

Affiliated with

Also associated with

No associations

Rating

Correlated multi-asset portfolio optimisation with transaction cost does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Correlated multi-asset portfolio optimisation with transaction cost, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Correlated multi-asset portfolio optimisation with transaction cost will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-365874