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Journal of Applied Mathematics and Stochastic Analysis
Volume 2007, Article ID 82753, 33 pages
http://dx.doi.org/10.1155/2007/82753
Research Article

Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part I

Mathematics Division, US Army Research Office, P.O. Box 12211, Research Triangle Park, 27709, NC, USA

Received 23 June 2006; Revised 26 October 2006; Accepted 27 October 2006

Copyright © 2007 Mou-Hsiung Chang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citations to this Article [3 citations]

The following is the list of published articles that have cited the current article.

  • Daniel N. Ostrov, and Thomas G. Wong, “Optimal asset allocation for passive investing with capital loss harvesting,” Applied Mathematical Finance, vol. 18, no. 4, pp. 291–329, 2011. View at Publisher · View at Google Scholar
  • Helge Holden, and Lars Holden, “Optimal rebalancing of portfolios with transaction costs,” Stochastics, vol. 85, no. 3, pp. 371–394, 2013. View at Publisher · View at Google Scholar
  • Jin Ma, Qingshuo Song, Jing Xu, and Jianfeng Zhang, “Optimal Portfolio Selection Under Concave Price Impact,” Applied Mathematics & Optimization, vol. 67, no. 3, pp. 353–390, 2013. View at Publisher · View at Google Scholar