FUTURES TRADING WITH TRANSACTION COSTS

被引：0
|
作者：
Dostal, Petr [1 ]
机构：
[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Prague, Czech Republic
来源：
ALGORITMY 2009: 18TH CONFERENCE ON SCIENTIFIC COMPUTING | 2009年
关键词：
HARA utility function; futures trading; transaction costs; PORTFOLIO SELECTION; CONSUMPTION; INVESTMENT;
D O I：
暂无
中图分类号：
Q [生物科学];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
We consider an investor, who takes positions in the futures contracts, pays proportional transaction costs, do not consume and is interested in his/her wealth far in the future. We assume that the futures price is an arithmetic Brownian motion and this assumption together with the restriction to 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 class of admissible strategies.
引用
收藏
页码：419 / 428
页数：10
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