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

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Metadaten
Author:Silke Laue
URN (permanent link):urn:nbn:de:bsz:386-kluedo-15273
Advisor:Ralf Korn
Document Type:Doctoral Thesis
Language of publication:English
Year of Completion:2002
Year of Publication:2002
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2002/12/18
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:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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