Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F22%3A00568998" target="_blank" >RIV/67985556:_____/22:00568998 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11320/22:10456022

Result on the web

<a href="https://www.kybernetika.cz/content/2022/6/903" target="_blank" >https://www.kybernetika.cz/content/2022/6/903</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2022-6-0903" target="_blank" >10.14736/kyb-2022-6-0903</a>

Result language

angličtina

Original language name

Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients

Original language description

We consider a non-consuming agent investing in a stock and a money market interested in the portfolio market price far in the future. We derive a strategy which is almost log-optimal in the long run in the presence of small proportional transaction costs for the case when the rate of return and the volatility of the stock market price are bounded Ito processes with bounded coefficients and when the volatility is bounded away from zero.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2022

Confidentiality

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

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

—

Volume of the periodical

58

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

57

Pages from-to

903-959

UT code for WoS article

000962846400003

EID of the result in the Scopus database

2-s2.0-85161887984