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

Dostal, Petr

[journal article]

dc.contributor.author	Dostal, Petr	de
dc.date.accessioned	2011-02-23T03:48:00Z	de
dc.date.accessioned	2012-08-30T07:09:56Z
dc.date.available	2012-08-30T07:09:56Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22121
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Portfolio choice; Utility functions; Trading strategies; Portfolio optimization; Transaction costs
dc.title	Investment strategies in the long run with proportional transaction costs and HARA utility function	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	9	de
dc.publisher.country	GBR
dc.source.issue	2	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Financial Planning, Accountancy	en
dc.subject.classoz	Finanzwirtschaft, Rechnungswesen	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-221213	de
dc.date.modified	2011-03-16T09:14:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	231-242
internal.identifier.classoz	10905
internal.identifier.classoz	1090406
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680802039873	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics
Finanzwirtschaft, Rechnungswesen
Financial Planning, Accountancy

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