• DocumentCode
    638502
  • 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
  • Volume
    1
  • fYear
    2013
  • fDate
    June 28 2013-July 1 2013
  • Firstpage
    437
  • Lastpage
    441
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Strategic Technology (IFOST), 2013 8th International Forum on
  • Conference_Location
    Ulaanbaatar
  • Print_ISBN
    978-1-4799-0931-5
  • Type

    conf

  • DOI
    10.1109/IFOST.2013.6616994
  • Filename
    6616994
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=638502