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Investment strategies in the long run with proportional transaction costs and HARA utility function

[Zeitschriftenartikel]

Dostal, Petr

Zitationshinweis

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Abstract We consider an agent who invests in a stock and a money market in order to maximize the asymptotic behaviour of expected utility of the portfolio market price in the presence of proportional transaction costs. The assumption that the portfolio market price is a geometric Brownian motion and the restriction to utility function with hyperbolic absolute risk aversion (HARA) enable us to evaluate interval investment strategies. It is shown that the optimal interval strategy is also optimal among a wide family of strategies and that it is optimal also in a time changed model in case of logarithmic utility.
Klassifikation Finanzwirtschaft, Rechnungswesen; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode Theorieanwendung
Freie Schlagwörter Portfolio choice; Utility functions; Trading strategies; Portfolio optimization; Transaction costs
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 231-242
Zeitschriftentitel Quantitative Finance, 9 (2009) 2
DOI http://dx.doi.org/10.1080/14697680802039873
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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