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

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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.

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Authors and Affiliations

  1. Fachbereich Mathematik, Universität Kaiserslautern and Fraunhofer Institute ITWM, D-67653, Kaiserslautern, Germany

    Ralf Korn

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  1. Ralf Korn
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Manuscript received: July 2003/Final version received: January 2004

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Korn, R. Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach. Math Meth Oper Res 60, 165–174 (2004). https://doi.org/10.1007/s001860400359

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  • DOI: https://doi.org/10.1007/s001860400359

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