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

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BA - Obecná matematika

OECD FORD obor

—

Projekt

—

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 28th International Conference Mathematical Methods in Economics 2010, Part I

ISBN

978-80-7394-218-2

ISSN

—

e-ISSN

—

Počet stran výsledku

6

Strana od-do

—

Název nakladatele

Jihočeská univerzita, Ekonomická fakulta

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

8. 9. 2010

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

—