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Article: Optimal consumption and investment problems under GARCH with transaction costs

TitleOptimal consumption and investment problems under GARCH with transaction costs
Authors
Chen, ZYuen, KC
KeywordsConsumption And Investment Problems
Decomposition
Stochastic Programming
The Augmented Lagrangian
The Garch Model
Issue Date2005
PublisherPhysica-Verlag GmbH und Co. The Journal's web site is located at http://link.springer.de/link/service/journals/00186/
Citation
Mathematical Methods Of Operations Research, 2005, v. 61 n. 2, p. 219-237 How to Cite?
DOI: http://dx.doi.org/10.1007/s001860400396
AbstractGeneral multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a GARCH-type process is used to model the risky asset's return series so that its time-varying moments and conditional heteroskedasticity can be properly described. We model this kind of consumption and investment problems as dynamic stochastic optimization problems, which can easily cope with different utility functions and any number of time periods. The procedure to efficiently solve the resulting nonlinear stochastic optimization problem is discussed in detail and a parallelizable decomposition algorithm is devised. Numerical results show the suitability and promise of our methodology. © Springer-Verlag 2005.
Persistent Identifierhttp://hdl.handle.net/10722/172413
ISSN
1432-2994
2021 Impact Factor: 1.337
2020 SCImago Journal Rankings: 0.524
ISI Accession Number ID
WOS:000229188800003
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorChen, Zen_US
dc.contributor.authorYuen, KCen_US
dc.date.accessioned2012-10-30T06:22:23Z-
dc.date.available2012-10-30T06:22:23Z-
dc.date.issued2005en_US
dc.identifier.citationMathematical Methods Of Operations Research, 2005, v. 61 n. 2, p. 219-237en_US
dc.identifier.issn1432-2994en_US
dc.identifier.urihttp://hdl.handle.net/10722/172413-
dc.description.abstractGeneral multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a GARCH-type process is used to model the risky asset's return series so that its time-varying moments and conditional heteroskedasticity can be properly described. We model this kind of consumption and investment problems as dynamic stochastic optimization problems, which can easily cope with different utility functions and any number of time periods. The procedure to efficiently solve the resulting nonlinear stochastic optimization problem is discussed in detail and a parallelizable decomposition algorithm is devised. Numerical results show the suitability and promise of our methodology. © Springer-Verlag 2005.en_US
dc.languageengen_US
dc.publisherPhysica-Verlag GmbH und Co. The Journal's web site is located at http://link.springer.de/link/service/journals/00186/en_US
dc.relation.ispartofMathematical Methods of Operations Researchen_US
dc.subjectConsumption And Investment Problemsen_US
dc.subjectDecompositionen_US
dc.subjectStochastic Programmingen_US
dc.subjectThe Augmented Lagrangianen_US
dc.subjectThe Garch Modelen_US
dc.titleOptimal consumption and investment problems under GARCH with transaction costsen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1007/s001860400396en_US
dc.identifier.scopuseid_2-s2.0-18844401695en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-18844401695&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume61en_US
dc.identifier.issue2en_US
dc.identifier.spage219en_US
dc.identifier.epage237en_US
dc.identifier.isiWOS:000229188800003-
dc.publisher.placeGermanyen_US
dc.identifier.scopusauthoridChen, Z=7409486774en_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.issnl1432-2994-

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