Correlated multi-asset portfolio optimisation with transaction cost
Portfolio Management
2009-05-06 v3 Data Analysis, Statistics and Probability
Physics and Society
Abstract
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results are supported by numerical simulations in the context of the Long Term Growth Model.
Keywords
Cite
@article{arxiv.0705.1949,
title = {Correlated multi-asset portfolio optimisation with transaction cost},
author = {Siu Lung Law and Chiu Fan Lee and Sam Howison and Jeff N. Dewynne},
journal= {arXiv preprint arXiv:0705.1949},
year = {2009}
}