Investment strategies in the long run with proportional transaction costs and a HARA utility function

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F09%3A00206220" target="_blank" >RIV/00216208:11320/09:00206220 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Investment strategies in the long run with proportional transaction costs and a HARA utility function

Original language description

We give the optimal strategy for an investor with HARA utility function unbounded from below interested in his/her wealth far in the future investing in a money market and a stock market with the dynamics of exponential Brownian motion in the presence ofproportional transaction costs.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

<a href="/en/project/GP201%2F04%2FP257" target="_blank" >GP201/04/P257: Analysis of asymptotic optimal trading strategies</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Quantitative Finance

ISSN

1469-7688

e-ISSN

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Volume of the periodical

9

Issue of the periodical within the volume

2

Country of publishing house

GB - UNITED KINGDOM

Number of pages

12

Pages from-to

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UT code for WoS article

000265409000011

EID of the result in the Scopus database

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