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

Petr Dostál (2022)

Kybernetika

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.

An application of multivariate total positivity to peacocks

Antoine Marie Bogso (2014)

ESAIM: Probability and Statistics

We use multivariate total positivity theory to exhibit new families of peacocks. As the authors of [F. Hirsch, C. Profeta, B. Roynette and M. Yor, Peacocks and associated martingales vol. 3. Bocconi-Springer (2011)], our guiding example is the result of Carr−Ewald−Xiao [P. Carr, C.-O. Ewald and Y. Xiao, Finance Res. Lett. 5 (2008) 162–171]. We shall introduce the notion of strong conditional monotonicity. This concept is strictly more restrictive than the conditional monotonicity as defined in [F....

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