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

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Optimal Portfolio Selection with Fixed Transaction Costs in the Presence of Jumps and Random Drift

Optimal Portfolio Selection with Fixed Transaction Costs in the Presence of Jumps and Random Drift
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Total Pages : 28
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ISBN-10 : CORNELL:31924079954073
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Book Synopsis Optimal Portfolio Selection with Fixed Transaction Costs in the Presence of Jumps and Random Drift by : Ajay Subramanian Aiyer

Download or read book Optimal Portfolio Selection with Fixed Transaction Costs in the Presence of Jumps and Random Drift written by Ajay Subramanian Aiyer and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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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