Skip to main content
Log in

Impulsive Control of Portfolios

  • Published:
Applied Mathematics and Optimization Aims and scope Submit manuscript

Abstract

In this paper a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to find optimal portfolio strategies maximizing a discounted infinite horizon reward functional consisting of an integral term measuring the quality of the portfolio at each moment and a discrete term measuring the reward from consumption. There are general transaction costs which, in particular, cover fixed plus proportional costs. It is shown, under general conditions, that there exists an optimal impulse strategy and the value function is a solution to the Bellman equation which corresponds to suitable quasi-variational inequalities.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Similar content being viewed by others

Author information

Authors and Affiliations

Authors

Corresponding authors

Correspondence to Jan Palczewski or Lukasz Stettner.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Palczewski, J., Stettner, L. Impulsive Control of Portfolios. Appl Math Optim 56, 67–103 (2007). https://doi.org/10.1007/s00245-007-0880-y

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/s00245-007-0880-y

Keywords

Navigation