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

Title:

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

Creator:

Dostál, Petr

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:1eae2c85-1275-443c-8798-65e4aff69875
uuid:1eae2c85-1275-443c-8798-65e4aff69875
doi:10.14736/kyb-2022-6-0903

Subject:

small transaction costs, logarithmic utility function, and non-constant coefficients

Type:

model:article and TEXT

Format:

bez média and svazek

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 It\^o processes with bounded coefficients and when the volatility is bounded away from zero.

Language:

English

Rights:

http://creativecommons.org/licenses/by-nc-sa/4.0/
policy:public

Coverage:

903-959

Source:

Kybernetika | 2022 Volume:58 | Number:6

Harvested from:

CDK

Metadata only:

false