Risky fraction processes and problems with transaction costs

MaRDI QIDQ5486569zbMATHFDO

Authors Hideo Nagai

Publication date 11 September 2006

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0013.html

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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(5)

• Optimal portfolio selection under vanishing fixed transaction costs
• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• Futures trading with transaction costs
• Expected log-utility maximization under incomplete information and with Cox-process observations
• Risk minimization under transaction costs

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