Portfolio Optimization under Transaction Costs: Recent Theory and Results by Car

Description: Portfolio Optimization under Transaction Costs by Carola Denise Fekter The classical investment models like the famous Markowitz Model are one-period models based only on the expected growth rate and volatility of a stock, and do not make any assumptions on the exact behaviour or probability distributions of risky assets. It was a milestone of Robert C.Merton to consider an investment-consumption problem where risky assets follow a Geometric Brownian Motion. He derives that the investment decision is independent of the up and down movement of the stock, as it is optimal to always hold the same proportion of wealth invested in risky assets. As soon as the investor is faced with transaction costs however, he must match the benefits of improved diversification against the associated transaction costs. This book tries to outline several important theories and results concerning proportional transaction costs. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description The classical investment models like the famous Markowitz Model are one-period models based only on the expected growth rate and volatility of a stock, and do not make any assumptions on the exact behaviour or probability distributions of risky assets. It was a milestone of Robert C.Merton to consider an investment-consumption problem where risky assets follow a Geometric Brownian Motion. He derives that the investment decision is independent of the up and down movement of the stock, as it is optimal to always hold the same proportion of wealth invested in risky assets. As soon as the investor is faced with transaction costs however, he must match the benefits of improved diversification against the associated transaction costs. This book tries to outline several important theories and results concerning proportional transaction costs. Author Biography Carola Denise Fekter was born in Vöcklabruck, Austria, in 1986. She studied Financial- and Actuarial Mathematics at the University of Technology Vienna and spent a year abroad at the Université Paris IX Dauphine. More over she studied Economics and Law at the University of Economics and Business Administration Vienna, where she still lives. Details ISBN3639221516 Author Carola Denise Fekter Year 2010 ISBN-10 3639221516 ISBN-13 9783639221510 Media Book Format Paperback Publication Date 2010-01-05 Short Title PORTFOLIO OPTIMIZATION UNDER T Pages 72 Language English Subtitle Recent Theory and Results DEWEY 332.6 UK Release Date 2010-01-05 Imprint VDM Verlag Country of Publication Germany Illustrations black & white illustrations Publisher VDM Verlag Audience General We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:132423551;

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