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

Petr Dostál

Kybernetika (2022)

  • Volume: 58, Issue: 6, page 903-959
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Dostál, Petr. "Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients." Kybernetika 58.6 (2022): 903-959. <http://eudml.org/doc/299423>.

@article{Dostál2022,
abstract = {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.},
author = {Dostál, Petr},
journal = {Kybernetika},
keywords = {small transaction costs; logarithmic utility function; non-constant coefficients},
language = {eng},
number = {6},
pages = {903-959},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients},
url = {http://eudml.org/doc/299423},
volume = {58},
year = {2022},
}

TY - JOUR
AU - Dostál, Petr
TI - Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
JO - Kybernetika
PY - 2022
PB - Institute of Information Theory and Automation AS CR
VL - 58
IS - 6
SP - 903
EP - 959
AB - 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.
LA - eng
KW - small transaction costs; logarithmic utility function; non-constant coefficients
UR - http://eudml.org/doc/299423
ER -

References

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