Optimal trading with transaction costs using a PMP gradient method
This thesis considers a portfolio optimization problem with linear transaction costs, as interpreted by Ampfield Aktiebolag, and analyses it by using a gradient method based on Pontryagin's maximum principle (PMP). First the problem is outlined and afterwards it turns out that a gradient PMP me...
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| Format: | Others |
| Language: | English |
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KTH, Optimeringslära och systemteori
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188811 |