Futures trading with transaction costs
Result description
The paper provides an optimal investment strategy for an investor with HARA utility function unbounded from below interested in his/her wealth far in the future facing proportional transaction costs investing in futures and money market. The price of futures is assumed to be a Brownian motion.
Keywords
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Futures trading with transaction costs
Original language description
The paper provides an optimal investment strategy for an investor with HARA utility function unbounded from below interested in his/her wealth far in the future facing proportional transaction costs investing in futures and money market. The price of futures is assumed to be a Brownian motion.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
ALGORIMTY 2009, 18th conference on scientific computing
ISBN
978-80-227-3032-7
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
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Publisher name
Slovak University of Technology in Bratislava
Place of publication
Bratislava
Event location
Bratislava
Event date
Jan 1, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000267157200044
Basic information
Result type
D - Article in proceedings
CEP
BA - General mathematics
Year of implementation
2009