Publikasjonsdetaljer
- Journal: Stochastics: An International Journal of Probability and Stochastic Processes, vol. 85, p. 371–394, 2013
- Utgiver: Taylor & Francis
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Internasjonale standardnumre:
- Trykt: 1744-2508
- Elektronisk: 1744-2516
- Lenker:
Rebalancing of portfolios with a concave utility function is considered. It is proved that transaction costs imply that there is a no-trade region where it is optimal not to trade. For proportional transaction costs, it is optimal to rebalance to the boundary when outside the no-trade region. With flat transaction costs, the rebalance from outside the no-trade region should be to an internal state in the no-trade region but never a full rebalance. The standard optimal portfolio theory is extended to an arbitrary number of equally treated assets, general utility function and more general stochastic processes. Examples are discussed.
