23 May 2005 Optimal investment strategies and hedging of derivatives in the presence of transaction costs (Invited Paper)
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Proceedings Volume 5848, Noise and Fluctuations in Econophysics and Finance; (2005) https://doi.org/10.1117/12.619358
Event: SPIE Third International Symposium on Fluctuations and Noise, 2005, Austin, Texas, United States
Abstract
Investment strategies in multiplicative Markovian market models with transaction costs are defined using growth optimal criteria. The optimal strategy is shown to consist in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon. The inclusion of financial derivatives in the models is also considered. All the results presented in this contributions were previously derived in collaboration with E. Aurell.
© (2005) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
Paolo Muratore-Ginanneschi, Paolo Muratore-Ginanneschi, } "Optimal investment strategies and hedging of derivatives in the presence of transaction costs (Invited Paper)", Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); doi: 10.1117/12.619358; https://doi.org/10.1117/12.619358
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