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Impulsive Control of Portfolios

Impulsive Control of Portfolios In this paper a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to find optimal portfolio strategies maximizing a discounted infinite horizon reward functional consisting of an integral term measuring the quality of the portfolio at each moment and a discrete term measuring the reward from consumption. There are general transaction costs which, in particular, cover fixed plus proportional costs. It is shown, under general conditions, that there exists an optimal impulse strategy and the value function is a solution to the Bellman equation which corresponds to suitable quasi-variational inequalities. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

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References (18)

Publisher
Springer Journals
Copyright
Copyright © 2007 by Springer
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Methods
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s00245-007-0880-y
Publisher site
See Article on Publisher Site

Abstract

In this paper a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to find optimal portfolio strategies maximizing a discounted infinite horizon reward functional consisting of an integral term measuring the quality of the portfolio at each moment and a discrete term measuring the reward from consumption. There are general transaction costs which, in particular, cover fixed plus proportional costs. It is shown, under general conditions, that there exists an optimal impulse strategy and the value function is a solution to the Bellman equation which corresponds to suitable quasi-variational inequalities.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Jun 1, 2007

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