Title :
Optimization problem in finite-horizon case with quadratic utility function and proportional transaction costs
Author :
Tserendorj, Batsukh ; Dorj, Nyamsuren
Author_Institution :
Dept. of Econ. & Econ., Inst. of Finance & Econ., Ulaanbaatar, Mongolia
fDate :
June 28 2013-July 1 2013
Abstract :
A Merton´s type portfolio optimization problem with quadratic utility function and transaction costs in finite-horizon case is considered in this paper. One case for a particular class of utility and bequest function of the Merton´s problem of an investor have been solved analytically.
Keywords :
costing; investment; quadratic programming; utility theory; Merton´s type portfolio optimization problem; bequest function; finite-horizon case; investor; proportional transaction costs; quadratic utility function; Discrete wavelet transforms;
Conference_Titel :
Strategic Technology (IFOST), 2013 8th International Forum on
Conference_Location :
Ulaanbaatar
Print_ISBN :
978-1-4799-0931-5
DOI :
10.1109/IFOST.2013.6616994
