Growth optimal investment and pricing of derivatives

Optimal Investment and Pricing in the Presence of Defaults

Pricing Approaches for Investment Companies

The main business of an investment company is to hold and manage securities for investment purposes. In today competitive market Pricing and its methodology are complicated motions. It is very important to define a price that can prevail the competition in an open and free market. In order to define the price certain circumstances should be considered. In the academic arena there have been seve...

Optimal Investment, Growth Options, and Security Returns

As a consequence of optimal investment choices, a firm’s assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm’s systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: ~i! the time-series relation between the book-to-market ratio and asset returns; ~ii! the cross-se...

Growth Optimal Investment with Transaction Costs

Discrete time infinite horizon growth optimal investment in stock markets with transactions costs is considered. The stock processes are modelled by homogeneous Markov processes. Assuming that the distribution of the market process is known, we show two recursive investment strategies such that, in the long run, the growth rate on trajectories (in "liminf" sense) is greater than or equal to the...

Discrete time growth optimal investment with costs∗

In this work we ask how should an investor distribute wealth over various assets to maximizethe growth rate of the cumulative wealth in a discrete time market with proportional transactioncosts. We show that this sequential decision problem has a stationary optimal policy. Inaddition, we show that for all 2 > 0 there exists a policy that guarantees a growth rate at most 2bel...