Almost optimal investment strategies for small transaction costs and independent assets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10051477" target="_blank" >RIV/00216208:11320/10:10051477 - 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
Almost optimal investment strategies for small transaction costs and independent assets
Original language description
We consider an agent who does not consume and who invests all the wealth in a money market and in several stocks. We assume that he pays proportional transaction costs for each trade and that he wants to maximize the long run growth rate of the certaintyequivalent of the wealth process provided that the stock market prices follow a multidimensional geometric Brownian motion provided that he faces HARA utility function unbounded from below. We assume that the investor is interested in an almost optimalstrategy for small transaction taxes. This leads us to a certain partial differential equation, which can be solved explicitly in the case where the stock prices are independent. Thus we are able to propose a strategy that should be almost optimal for small values of transaction taxes in case of independent stocks.
Czech name
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Czech description
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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
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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