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Téměř optimální obchodní strategie pro malé transakční náklady / Almost optimal trading strategies for small transaction costs

We consider agent trading futures on a market with small transaction costs. Her capital is deposited on a money market account, where compounding is possible. Arithmetic Brownian motion with random coefficients is considered as a model for futures strike price. The coefficients are assumed to be bounded Itô processes with bounded coefficients. Under these assumptions, an almost optimal interval strategy is derived, which almost maximizes expected utility in certain stopping times under hyperbolic absolute risk aversion utility function. Furthermore, under logarithmic utility function the derived strategy almost maximizes expected utility in wide class of (integrable) stopping times.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:300258
Date January 2011
CreatorsJusko, Martin
ContributorsDostál, Petr, Štěpán, Josef
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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