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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 19, Fasc. 2,
pages 235 - 248
 

DISCRETE TIME PORTFOLIO SELECTION WITH PROPORTIONAL TRANSACTION COSTS

Roman V. Bobryk
Łukasz Stettner

Abstract: In the paper discrete time portfolio selection with maximization of a discounted satisfaction functional is studied. In Section 2 the case without transaction costs is considered and explicit solutions for special satisfaction functions are given. In Section 3 the problem with proportional transaction costs is investigated and optimal strategies are characterized.

1991 AMS Mathematics Subject Classification: 90A09, 93E20.

Key words and phrases: Portfolio selection, Transaction costs, Bellman equation.

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