The server is under maintenance between 08:00 to 12:00 (GMT+08:00), and please visit later.
We apologize for any inconvenience caused
Login  | Sign Up  |  Oriprobe Inc. Feed
China/Asia On Demand
Journal Articles
Laws/Policies/Regulations
Companies/Products
Optimal Investment with Transaction Costs under a Hyperbolic Lévy Model Abstract
Author(s): 
Pages: 149-159
Year: Issue:  2
Journal: JOURNAL OF FUDAN UNIVERSITY(NATURAL SCIENCE)

Keyword:  最优投资交易费双曲Lévy模型HJB方程粘性解;
Abstract: 在双曲Lévy模型下考虑对股票的交易有交易费要求的最优投资问题. 假定投资者按既定的投资方式进行投资(他有一银行账户),可以无限制地存借款以买卖股票. 其投资目的是使自己的期望效用最大化.
Related Articles
loading...