Correlated multi-asset portfolio optimisation with transaction cost

2007/05/14 by Siu Lung Law, Law, Siu Lung, Chiu Fan Lee +6 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Data Analysis #Economic theories and models #FOS: Economics and business #FOS: Physical sciences #Financial Markets and Investment Strategies #Physics and Society (physics.soc-ph) #Portfolio Management (q-fin.PM) #Statistics and Probability (physics.data-an) #Stochastic processes and financial applications #physics.data-an #physics.soc-ph #q-fin.PM

paper · pdf · doi:10.48550/arxiv.0705.1949

Manuscript completely rewritten

openalex publication_date 2007/05/14 · arxiv created 2009/05/05 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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• Multi-asset consumption-investment problems with infinite transaction costs

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