Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
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有限时间内交易成本最优投资的渐近分析
DOI：
10.1137/100808046
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Maxim Bichuch
中科院分区：
文献类型：
--
作者：
Maxim Bichuch
我们考虑一个投资于股票和货币市场账户的代理人，其目标是在存在成比例交易成本的情况下，在最终时间T最大化其投资的效用。所考虑的效用函数是幂效用。我们提供了一个启发式和严格的推导的渐近展开的价值函数的权力的交易成本参数。我们还得到了一个“近最优”的策略，其效用渐近匹配的价值函数中的领先条款。
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is power utility. We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers of transaction cost parameter. We also obtain a "nearly optimal" strategy, whose utility asymptotically matches the leading terms in the value function.