Proportional to the investment

The Return on Investment from Proportional Portfolio Strategies

Dynamic asset allocation strategies that are continuously rebalanced so as to always keep a fixed constant proportion of wealth invested in the various assets at each point in time play a fundamental role in the theory of optimal portfolio strategies. In this paper we study the rate of return on investment, defined here as the net gain in wealth divided by the cumulative investment, for such in...

Optimal Investment and Proportional Reinsurance with Risk Constraint

In this paper, we investigate the problem of maximizing the expected exponential utility for an insurer. In the problem setting, the insurer can invest his/her wealth into the market and he/she can also purchase the proportional reinsurance. To control the risk exposure, we impose a value-at-risk constraint on the portfolio, which results in a constrained stochastic optimal control problem. It ...

Log-optimal investment in the long run with proportional transaction costs when using shadow prices

We consider a non-consuming agent interested in the maximization of the long-run growth rate of a wealth process investing either in a money market and in one risky asset following a geometric Brownian motion or in futures following an arithmetic Brownian motion. The agent faces proportional transaction costs, and similarly as in [17] where the case of stock trading is considered, we show how t...

from linguistics to literature: a linguistic approach to the study of linguistic deviations in the turkish divan of shahriar

chapter i provides an overview of structural linguistics and touches upon the saussurean dichotomies with the final goal of exploring their relevance to the stylistic studies of literature. to provide evidence for the singificance of the study, chapter ii deals with the controversial issue of linguistics and literature, and presents opposing views which, at the same time, have been central to t...

Measurement error proportional to the mean.