L\'{e}vy Process, Proportional Transaction Costs and Foreign Exchange
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We analyse optimal portfolio selection problem of maximizing the utility of an agent who invests in a stock and money market account in the presence of proportional transaction cost $\lambda>0$ and foreign exchange rate. The stock price follows a (generalized) Geometric It\^{o}-L\'{e}vy process. The utility function is $U(c)={c^{p}}/{p}$ for all $c\geq0$, $p<1$, $p\neq0$.
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2013 ◽
Vol 9
(4)
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pp. 55-74
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2010 ◽
Vol 63
(1)
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pp. 107-132
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2007 ◽
Vol 13
(5)
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pp. 981-994
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2016 ◽
Vol 8
(7)
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pp. 193
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2016 ◽
Vol 29
(10)
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pp. 1459-1480
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