Optimal investment under transaction costs for an insurer
نویسندگان
چکیده
منابع مشابه
Optimal Investment Under Transaction Costs
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-time two-asset markets under proportional transaction costs. We then extend our analysis to cover markets having more than two stocks. The market is modele...
متن کاملOptimal investment and consumption with transaction costs
An agent can invest in a high—yield bond and a low—yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. The low—yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high—yie...
متن کاملGrowth 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...
متن کاملAsymptotic analysis for optimal investment and consumption with transaction costs
We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost λ >. The utility function is of the form U(c) = c1−p/(1− p) for p > 0, p 6= 1. We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers ...
متن کاملOptimal investment problem for an insurer and a reinsurer
This paper focuses on the optimal investment problem for an insurer and a reinsurer. The insurer’s and reinsurer’s surplus processes are both approximated by a Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer. In addition, both the insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset. We first study the optimiz...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: European Actuarial Journal
سال: 2013
ISSN: 2190-9733,2190-9741
DOI: 10.1007/s13385-013-0078-4