Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach

Ralf Korn

Mathematical Methods of Operations Research, 2004, vol. 60, issue 2, 165-174

Abstract: We review some different approaches to treat the continuous-time portfolio problem under transaction costs and highlight the difficulties with their application to real-world tasks. In particular, we point out the problems and possibilities of using the Morton and Pliska (1995) approach and its asymptotic variant in reality. Copyright Springer-Verlag 2004

Date: 2004
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DOI: 10.1007/s001860400359

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