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.
Similar content being viewed by others
Author information
Authors and Affiliations
Corresponding authors
Rights 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
Issue Date:
DOI: https://doi.org/10.1007/s00245-007-0880-y