Cover Image

Optimal two-parameter portfolio management strategy with transaction costs

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Ma, Chutian, Smith, Paul
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control Probability Portfolio Management 93E20, 91G80
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)

Myopic Optimality: why reinforcement learning portfolio management strategies lose money
by: Ma, Yuming
Published: (2025)

Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
by: Lleo, Sebastien, et al.
Published: (2025)

Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)

Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
by: Lleo, Sebastien, et al.
Published: (2026)

Entropy Regularization under Bayesian Drift Uncertainty
by: Au, Andy
Published: (2026)

Asymptotic methods for transaction costs
by: Mayerhofer, Eberhard
Published: (2024)

Dynamically optimal portfolios for monotone mean--variance preferences
by: Černý, Aleš, et al.
Published: (2025)

Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
by: Tian, Dejian, et al.
Published: (2025)

Optimal dividend payout with path-dependent drawdown constraint
by: Guan, Chonghu, et al.
Published: (2023)

A unifying view on the irreversible investment exercise boundary in a stochastic, time-inhomogeneous capacity expansion problem
by: Chiarolla, Maria B.
Published: (2022)

Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)

Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)

A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)

Optimal Portfolio Choice with Cross-Impact Propagators
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)

Almost Perfect Shadow Prices
by: Mayerhofer, Eberhard
Published: (2024)

Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2023)

Optimal consumption under loss-averse multiplicative habit-formation preferences
by: Angoshtari, Bahman, et al.
Published: (2024)

Erratum to "On the market viability under proportional transaction costs"
by: Bayraktar, Erhan, et al.
Published: (2013)

A simple approach to the Løkka-Zervos dichotomy for absolutely continuous dividend strategies
by: Mastromonaco, Tommy, et al.
Published: (2026)

Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study
by: Huang, Yilie, et al.
Published: (2024)

Goal-based portfolio selection with fixed transaction costs
by: Bayraktar, Erhan, et al.
Published: (2025)

Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
by: Guan, Chonghu, et al.
Published: (2026)

Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
by: Gabih, Abdelali, et al.
Published: (2023)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by: Bäuerle, Nicole, et al.
Published: (2021)

Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
by: Chen, An, et al.
Published: (2023)

On general financial markets with concave transactions costs
by: Rygiel, A., et al.
Published: (2024)

Tractable bank capital structure: optimal control under Basel III constraints
by: Bayraktar, Erhan, et al.
Published: (2026)

De Finetti's Poissonian Dividend Control Problem under Spectrally Positive Markov Additive Process
by: Bo, Lijun, et al.
Published: (2023)

Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees
by: Hsieh, Chung-Han
Published: (2026)

Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark
by: van Staden, Pieter, et al.
Published: (2024)

Equilibrium in Functional Stochastic Games with Mean-Field Interaction
by: Jaber, Eduardo Abi, et al.
Published: (2023)

Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023)

Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
by: Wang, Yike, et al.
Published: (2025)

Equilibrium Strategies for the N-agent Mean-Variance Investment Problem over a Random Horizon
by: Liang, Xiaoqing, et al.
Published: (2025)

Stochastic Optimal Control Problems for the Cost-Optimal Management of a Standalone Microgrid
by: Takam, Paul Honore, et al.
Published: (2025)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
by: Liang, Gechun, et al.
Published: (2023)

Pathwise analysis of log-optimal portfolios
by: Allan, Andrew L., et al.
Published: (2025)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)