Online Appendix: Portfolio Selection with Transaction Costs and Jump Diffusion Asset Dynamics I and II

15 Pages Posted: 22 May 2016

See all articles by Michal Czerwonko

Michal Czerwonko

Concordia University

Stylianos Perrakis

Concordia University, Quebec - John Molson School of Business

Date Written: January 1, 2016

Abstract

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

Czerwonko, Michal and Perrakis, Stylianos, Online Appendix: Portfolio Selection with Transaction Costs and Jump Diffusion Asset Dynamics I and II (January 1, 2016). Available at SSRN: https://ssrn.com/abstract=2780587 or http://dx.doi.org/10.2139/ssrn.2780587

Michal Czerwonko (Contact Author)

Concordia University ( email )

1455 De Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada

Stylianos Perrakis

Concordia University, Quebec - John Molson School of Business ( email )

1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada

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