Singular optimal strategies for investment with transaction costs

• 成果类型: Article
• 署名作者: Weerasinghe, APN
• 署名单位: Iowa State University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1998
• 页码: 1312-1330
• 关键词: portfolio selection

摘要

We study an investment decision problem for an investor who has available a risk-free asset (such as a bank account) and a chosen risky asset. It is assumed that the interest rate for the risk-free asset is zero. The amount invested in the risky asset is given by an It (o) over cap process with infinitesimal parameters mu(.) and sigma(.), which come from a control set. This control set depends on the investor's wealth in the risky asset. The wealth can be transferred between the two assets and there are charges on all transactions equal to a fixed percentage of the amount transacted. The investor's financial goal is to achieve a total wealth of a > 0. The objective is to find an optimal strategy to maximize the probability of reaching a total wealth a before bankruptcy. Under certain conditions on the control sets, an optimal strategy is found that consists of an optimal choice of a risky asset and an optimal choice for the allocation of wealth (buying and selling policies) between the two assets.