Multistage Portfolio Optimization: A Duality Result in Conic Market Models

Article, Preprint English OPEN
Bassett, Robert; Le, Khoa; (2016)
  • Publisher: eScholarship, University of California
  • Subject: Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management | math.OC | q-fin.PM | Physical Sciences and Mathematics

We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability space and... View more
  • References (14)
    14 references, page 1 of 2

    [1] Mark HA Davis and Andrew R Norman. \Portfolio selection with transaction costs". In: Mathematics of Operations Research 15.4 (1990), pp. 676{713.

    [2] F. Delbaen and W. Schachermayer. The Mathematics of Arbitrage. Springer Finance. Springer Berlin Heidelberg, 2006. isbn: 9783540312994. url: https://books.google. com/books?id=H3qCqENWeVgC.

    [3] A. Hamel et al. \Set Optimization-a rather short introduction". In: Set Optimization and Applications in Finance, Springer PROMS series (Forthcoming).

    [4] Andreas H. Hamel. \A Duality Theory for Set-Valued Functions I: Fenchel Conjugation Theory". In: Set-Valued and Variational Analysis (2009), pp. 153{182.

    [5] Andreas H. Hamel and Andreas Lohne. \Lagrange duality in set optimization". In: J. Optim. Theory Appl. 161.2 (2014), pp. 368{397. issn: 0022-3239. doi: 10.1007/ s10957-013-0431-4.

    [6] Andreas H Hamel, Andreas Lohne, and Birgit Rudlo . \Benson type algorithms for linear vector optimization and applications". In: Journal of Global Optimization 59.4 (2014), pp. 811{836.

    [7] Y.M. Kabanov. \Hedging and liquidation under transaction costs in currency markets". In: Finance and Stochastics 3.2 (1999), pp. 237{248. issn: 0949-2984. doi: 10.1007/ s007800050061. url: http://dx.doi.org/10.1007/s007800050061.

    [8] Yu M Kabanov and Ch Stricker. \The Harrison{Pliska arbitrage pricing theorem under transaction costs". In: Journal of Mathematical Economics 35.2 (2001), pp. 185{196.

    [9] Andreas Lohne, Birgit Rudlo , and Firdevs Ulus. \Primal and dual approximation algorithms for convex vector optimization problems". In: Journal of Global Optimization 60.4 (2014), pp. 713{736.

    [10] Michael JP Magill and George M Constantinides. \Portfolio selection with transactions costs". In: Journal of Economic Theory 13.2 (1976), pp. 245{263.

  • Metrics
    No metrics available
Share - Bookmark