دورية أكاديمية
Optimal portfolio policies under fixed and proportional transaction costs
| العنوان: | Optimal portfolio policies under fixed and proportional transaction costs |
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| المؤلفون: | Irle, Albrecht, Sass, Jörn |
| بيانات النشر: | Applied Probability Trust |
| سنة النشر: | 2006 |
| المجموعة: | Project Euclid (Cornell University Library) |
| مصطلحات موضوعية: | Asymptotic growth rate, impulse control, fixed cost, proportional cost, portfolio optimization, transaction cost, 91B28, 49N25, 93E20 |
| الوصف: | We consider the portfolio optimization problem of maximizing the asymptotic growth rate under a combination of fixed and proportional costs. Expressing the asymptotic growth rate in terms of the risky fraction process, the problem can be transformed to that of controlling a diffusion in one dimension. Then we use the corresponding quasivariational inequalities to obtain the explicit shape together with the existence of an optimal impulse control strategy. This optimal strategy is given by only four parameters: two for the stopping boundaries and two for the new risky fractions the investor chooses at these times. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| تدمد: | 0001-8678 1475-6064 |
| العلاقة: | http://projecteuclid.org/euclid.aap/1165414586Test; Adv. in Appl. Probab. 38, no. 4 (2006), 916-942 |
| DOI: | 10.1239/aap/1165414586 |
| الإتاحة: | https://doi.org/10.1239/aap/1165414586Test http://projecteuclid.org/euclid.aap/1165414586Test |
| حقوق: | Copyright 2006 Applied Probability Trust |
| رقم الانضمام: | edsbas.FB8E8798 |
| قاعدة البيانات: | BASE |
| تدمد: | 00018678 14756064 |
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| DOI: | 10.1239/aap/1165414586 |