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This paper addresses the optimal scheduling of the liquidation of a portfolio using a new
angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or
only on the liqu...
Optimal Portfolio Diversification Using Maximum Entropy Principle
Diversification Entropy measure Portfolio selection Shrinkage rule Simulation methods
2011/4/2
Markowitz’s mean-variance (MV) efficient portfolio selection is one of the most widely used approaches in solving portfolio diversification problem. However, contrary to the notion of diversification,...
The dual optimizer for the growth-optimal portfolio under transaction costs
The dual optimizer the growth-optimal portfolio transaction costs
2010/10/20
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Ka...