Optimal Portfolio Selection With Fixed Transaction Costs In The Presence Of Jumps And Random Drift

Download Optimal Portfolio Selection With Fixed Transaction Costs In The Presence Of Jumps And Random Drift full books in PDF, epub, and Kindle. Read online free Optimal Portfolio Selection With Fixed Transaction Costs In The Presence Of Jumps And Random Drift ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!


Related Books

Optimal Portfolio Selection with Fixed Transaction Costs in the Presence of Jumps and Random Drift
Language: en
Pages: 28
Authors: Ajay Subramanian Aiyer
Categories: Investments
Type: BOOK - Published: 1996 - Publisher:

DOWNLOAD EBOOK

Optimal Portfolio Selection with Transaction Costs and 'Event Risk'
Language: en
Pages: 36
Authors: Hong Liu
Categories:
Type: BOOK - Published: 2009 - Publisher:

DOWNLOAD EBOOK

Models with event risk (the possibility of sudden large price movements) have proven important for option pricing (e.g., Bates (1996))and optimal portfolio sele
Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II
Language: en
Pages: 38
Authors: Michal Czerwonko
Categories:
Type: BOOK - Published: 2017 - Publisher:

DOWNLOAD EBOOK

We derive allocation rules under isoelastic utility for a mixed jump-diffusion process in a two-asset portfolio selection problem with finite horizon in the pre
Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I
Language: en
Pages: 46
Authors: Michal Czerwonko
Categories:
Type: BOOK - Published: 2017 - Publisher:

DOWNLOAD EBOOK

We derive allocation rules under isoelastic utility for a mixed jump-diffusion process in a two-asset portfolio selection problem with finite horizon in the pre
Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics
Language: en
Pages: 31
Authors: Michal Czerwonko
Categories:
Type: BOOK - Published: 2008 - Publisher:

DOWNLOAD EBOOK

We derive the boundaries of the region of no transaction when the risky asset follows a mixed jump-diffusion process in the presence of proportional transaction