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Portfolio Optimization under Transaction Costs

 

Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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  • Product 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.

Product Specifications
SKU :COC47528
AuthorCarola Denise Fekter
LanguageEnglish
BindingPaperback
Number of Pages72
Publishing Year2010-01-05T00:00:00.000
ISBN978-3639221510
Edition1 st
Book TypeMathematics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-04-08 00:00:00