Speaker: Yingting Miao (City University of Hong Kong)
Title: Optimal strategy for Managing Portfolio with Transaction Costs and Consumption
Abstract: Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. We apply the methods of dynamic programming and singular perturbation expansion to derive the closed-form leading solutions to this problem for small transaction costs with arbitrary transaction cost structure by maximizing the expected constant relative risk aversion (CRRA) utility function. We also discuss in detail the case which consists of both fixed and proportional transaction costs.
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.