منابع مشابه
Futures trading with transaction costs
A model for optimal consumption and investment is posed whose solution is provided by the classical Merton analysis when there is zero transaction cost. A probabilistic argument is developed to identify the loss in value when a proportional transaction cost is introduced. There are two sources of this loss. The first is a loss due to “displacement” that arises because one cannot maintain the op...
متن کاملUtility Maximization Trading Two Futures with Transaction Costs
An agent invests in two types of futures contracts, whose prices are possibly correlated arithmetic Brownian motions, and invests in a money market account with a constant interest rate. The agent pays a transaction cost for trading in futures proportional to the size of the trade. She also receives utility from consumption. The agent maximizes expected infinite-horizon discounted utility from ...
متن کاملStatistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a fund/agent investing in futures markets. We offer some preliminary remarks about statistical arbitrage strategies and we set the framework for futures markets, an...
متن کاملUtility Maximization Trading Two Futures with Transaction Cost
An agent invests in two types of futures contracts, whose prices are possibly correlated arithmetic Brownian motions, and invests in a money market account with a constant interest rate. The agent pays a transaction cost for trading in futures proportional to the size of the trade. She also receives utility from consumption. The agent maximizes expected infinite-horizon discounted utility from ...
متن کاملTrading Regions Under Proportional Transaction Costs
In the Black-Scholes model optimal trading for maximizing expected power utility under proportional transaction costs can be described by three intervals B, NT , S: If the proportion of wealth invested in the stocks lies in B, NT , S, then buying, not trading and selling, respectively, are optimal. For a finite time horizon, the boundaries of these trading regions depend on time and on the term...
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ژورنال
عنوان ژورنال: Illinois Journal of Mathematics
سال: 2010
ISSN: 0019-2082
DOI: 10.1215/ijm/1348505528