Online Appendix: Portfolio Selection with Transaction Costs and Jump Diffusion Asset Dynamics I and II
15 Pages Posted: 22 May 2016
Date Written: January 1, 2016
Appendix A demonstrates an error in the Genotte and Jung (1994) solution; Appendix B presents the Hamilton-Bellman-Jacoby equation in continuous time; Appendix C presents the exact solution in discrete time; Appendix D presents a numerical solution to the Liu and Loewenstein (2007) problem.
Keywords: transaction costs, portfolio selection, jump diffusion, asset allocation, finite horizon
JEL Classification: G10, G11
Suggested Citation: Suggested Citation