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 Portfolio Optimization under Transaction Costs. Recent Theory and Results
Наименование:

Portfolio Optimization under Transaction Costs. Recent Theory and Results

автор Carola D.F. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 72        мягкая обложка       
Аннотация:As soon as the investor is faced with transaction costs however, he must match the benefits of improved diversification against the associated transaction costs. It was a milestone of Robert C. Merton to consider an investment-consumption problem where risky assets follow a Geometric Brownian Motion. This book tries to outline several important theories and results concerning proportional transaction costs. The classical investment models like the famous Markowitz Model are one-period models based only on the expected growth rate and volatility of a stock, and do not make any assumptions on the exact behaviour or probability distributions of risky assets. He derives that the investment decision is independent of the up and down movement of the stock, as it is optimal to always hold the same proportion of wealth invested in risky assets.
Автор: Carola D.F.
Издательство: Книга по Требованию
Год:2010
Цена:
2007 руб
Нет в наличии
Поиск: Portfolio Optimization under Transaction Costs. Recent Theory and Results
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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