Investment strategies in the long run with proportional transaction costs and a HARA utility function
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 a 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 the case of logarithmic utility.
Year of publication: |
2009
|
---|---|
Authors: | Dostal, Petr |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 2, p. 231-242
|
Publisher: |
Taylor & Francis Journals |
Subject: | Portfolio choice | Utility functions | Trading strategies | Portfolio optimization | Transaction costs |
Saved in:
Online Resource
Saved in favorites
Similar items by subject
-
A singular stochastic control approach for optimal pairs trading with proportional transaction costs
Xing, Haipeng, (2022)
-
Abstract, classic, and explicit turnpikes
Guasoni, Paolo, (2014)
-
Portfolio optimization with disutility-based risk measure
Fulga, Cristinca, (2016)
- More ...