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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, who is more risk averse than the one with the logarithmic utility. We show that the derived strategy is almost optimal at certain stopping times under a HARA utility function bounded from above. We also show that there exists no similarly constructed trading strategy with strictly higher asymptotic result more than about the admitted error. Such a comparison is given also at the stopping times associated with the compared strategy.
  • We consider a non-consuming agent investing in a stock and a money market interested in the portfolio market price far in the future, who is more risk averse than the one with the logarithmic utility. We show that the derived strategy is almost optimal at certain stopping times under a HARA utility function bounded from above. We also show that there exists no similarly constructed trading strategy with strictly higher asymptotic result more than about the admitted error. Such a comparison is given also at the stopping times associated with the compared strategy. (en)
Title
  • Almost Optimal Trading Strategies For Small Transaction Costs And HARA Utility Function
  • Almost Optimal Trading Strategies For Small Transaction Costs And HARA Utility Function (en)
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  • Almost Optimal Trading Strategies For Small Transaction Costs And HARA Utility Function
  • Almost Optimal Trading Strategies For Small Transaction Costs And HARA Utility Function (en)
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  • RIV/00216208:11320/10:10050665!RIV11-GA0-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GP201/04/P257), Z(MSM0021620839)
http://linked.open...iv/cisloPeriodika
  • 1-2
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 246001
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/10:10050665
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • HARA, Utility, Function; Small, Transaction, Costs; Almost, Optimal, Trading, Strategies (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • IN - Indická republika
http://linked.open...ontrolniKodProRIV
  • [C1172DA2C855]
http://linked.open...i/riv/nazevZdroje
  • JOURNAL OF COMBINATORICS, INFORMATION & SYSTEM SCIENCES
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 35
http://linked.open...iv/tvurceVysledku
  • Dostál, Petr
http://linked.open...n/vavai/riv/zamer
issn
  • 0250-9628
number of pages
http://localhost/t...ganizacniJednotka
  • 11320
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