Portfolio Optimization with Discrete Trading Strategies in a Continuous-time Setting
- One crucial assumption of continuous financial mathematics is that the portfolio can be rebalanced continuously and that there are no transaction costs. In reality, this of course does not work. On the one hand, continuous rebalancing is impossible, on the other hand, each transaction causes costs which have to be subtracted from the wealth. Therefore, we focus on trading strategies which are based on discrete rebalancing - in random or equidistant times - and where transaction costs are considered. These strategies are considered for various utility functions and are compared with the optimal ones of continuous trading.
- Portfolio-Optimierung mit diskreten Handelsstrategien in zeitstetigen Marktmodellen
Author: | Silke Laue |
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URN: | urn:nbn:de:bsz:386-kluedo-15273 |
Advisor: | Ralf Korn |
Document Type: | Doctoral Thesis |
Language of publication: | English |
Year of Completion: | 2002 |
Year of first Publication: | 2002 |
Publishing Institution: | Technische Universität Kaiserslautern |
Granting Institution: | Technische Universität Kaiserslautern |
Acceptance Date of the Thesis: | 2002/12/18 |
Date of the Publication (Server): | 2003/01/14 |
Tag: | Effizienz; Exponentieller Nutzen; Portfolio-Optimierung; Transaktionskosten Efficiency; Exponential Utility; Portfolio Optimization; Transaction costs |
Source: | Stochastic Processes and Related Topics, Volume 12 |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |