DISCRETE TIME PORTFOLIO SELECTION WITH PROPORTIONAL
Roman V. Bobryk
Abstract: In the paper discrete time portfolio selection with maximization of a discounted
satisfaction functional is studied. In Section the case without transaction costs is
considered and explicit solutions for special satisfaction functions are given. In Section the
problem with proportional transaction costs is investigated and optimal strategies are
1991 AMS Mathematics Subject Classification: 90A09, 93E20.
Key words and phrases: Portfolio selection, Transaction costs, Bellman equation.