| bibtype |
J -
Journal Article
|
| ARLID |
0568998 |
| utime |
20240903170653.8 |
| mtime |
20230222235959.9 |
| SCOPUS |
85161887984 |
| WOS |
000962846400003 |
| DOI |
10.14736/kyb-2022-6-0903 |
| title
(primary) (eng) |
Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients |
| specification |
| page_count |
57 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0297163 |
| ISSN |
0023-5954 |
| title
|
Kybernetika |
| volume_id |
58 |
| volume |
6 (2022) |
| page_num |
903-959 |
| publisher |
| name |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
|
| keyword |
small transaction costs |
| keyword |
logarithmic utility function |
| keyword |
non-constant coefficients |
| author
(primary) |
| ARLID |
cav_un_auth*0413920 |
| name1 |
Dostál |
| name2 |
Petr |
| institution |
UTIA-B |
| full_dept (cz) |
Rozpoznávání obrazu |
| full_dept (eng) |
Department of Pattern Recognition |
| department (cz) |
RO |
| department (eng) |
RO |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| abstract
(eng) |
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 Ito processes with bounded coefficients and when the volatility is bounded away from zero. |
| result_subspec |
WOS |
| RIV |
BA |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2024 |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0340878 |
| confidential |
S |
| mrcbC91 |
A |
| mrcbT16-e |
COMPUTERSCIENCECYBERNETICS |
| mrcbT16-j |
0.184 |
| mrcbT16-s |
0.24 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q4 |
| arlyear |
2022 |
| mrcbU14 |
85161887984 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000962846400003 WOS |
| mrcbU63 |
cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 58 č. 6 2022 903 959 Ústav teorie informace a automatizace AV ČR, v. v. i. |
|