Milang Journal of Mathematics and Its Applications
Vol. 3 No. 1 (2004): Journal of Mathematics and Its Applications

AN OPTIMAL TRANSACTION INTERVALS FOR PORTFOLIO SELECTION PROBLEM WITH BULLET TRANSACTION COS

E. SYAHRIL (Bogor Agricultural University)

Article Info

Publish Date
01 Jul 2004

Abstract

This paper discusses an optimal transaction interval for a consumption and investment decision problem for an indi- vidual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian motion price fluctuations. The individual observes current wealth when making transactions, that transactions incur costs, and that decisions to transact can be made at any time based on all current information. The trans- actions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction of total wealth as management fee. The investor’s objective is to maximize the expected utility of consumption over a given horizon. The problem faced by the investor is formulated in a stochastic discrete-continuous-time control problem. An optimal transaction interval for the inverstor is derived.

Copyrights © 2004




Citation Download
RIS
EndNote, Reference Manager, ProCite
BibTex
Latex, Jabref
Full PDF
170.573 KB
Original Source
Download Original
Google Scholar
Check in Google Scholar
Journal Info
Milang Journal of Mathematics and Its Applications
Website

Abbrev

jmap

Publisher

Institut Pertanian Bogor

Subject

Agriculture, Biological Sciences & Forestry Computer Science & IT Control & Systems Engineering Earth & Planetary Sciences Mathematics

Description

The name MILANG is a Sundanese word that means “to count”, and is also an acronym of the topics covered in the journal: Mathematics in Informatics, Life Sciences, Actuarial Science, Natural Sciences, and Graph ...