Evaluation of Interval Strategies for Futures and Stock Trading with Proportional Transaction Costs

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10051470" target="_blank" >RIV/00216208:11320/10:10051470 - 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
Evaluation of Interval Strategies for Futures and Stock Trading with Proportional Transaction Costs
Original language description
We consider an agent who does not consume and who invests all the wealth either (1) in a money market and in a stock market with one risky asset or (2) in a money market and takes positions in futures contracts on some asset or index. Both the trades instock market and the changes of the position in the futures contracts are in the presence of proportional transaction costs. We assume that the agent is interested in an integrated discounted expected utility of the wealth process over an infinite-time horizon with HARA utility function. We propose a function which assigns this value to every admissible strategy and to every initial condition provided that (1) the stock market price follows a geometric Brownian motion and (2) the futures price follows an arithmetic Brownian motion. We show that these both cases can be treated simultaneously and that the setting of the problem leads to the explicit results that are completely analogical.
Czech name
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Czech description
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Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 28th International Conference Mathematical Methods in Economics 2010, Part I
ISBN
978-80-7394-218-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Jihočeská univerzita, Ekonomická fakulta
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 8, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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