Assume that we have an~investor who may invests in several risky assets called stocks and in one non-risky asset called bond and that the investor is interested in the expected utility of his/her wealth far in the future. In order to be able to treat the problem, we make several essential simplifying assumptions. First, we assume that the logarithm of the stock market prices is a~multidimensional arithmetic Brownian motion, that the investors pays proportional transaction costs and that the utility function is of a~HARA type. We are able to propose a~strategy that can be called almost optimal in the long run provided that the stock market prices are independent.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:313917 |
| Date | January 2011 |
| Creators | Tarabić, Aleksandra |
| Contributors | Dostál, Petr, Maslowski, Bohdan |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.5314 seconds