Portfolio Optimization Under Transaction Costs: Recent Theory and Results
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Von Händler/Antiquariat, BuySomeBooks [52360437], Las Vegas, NV, U.S.A.
Paperback. 72 pages. Dimensions: 8.8in. x 5.8in. x 0.3in.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. It was a milestone of Robert C. Merton to consider an investment-consumption problem where risky assets follow a Geometric Brownian Motion. 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. As soon as the investor is faced with transaction costs however, he must match the benefits of improved diversification against the associated transaction costs. This book tries to outline several important theories and results concerning proportional transaction costs. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN.

Von Händler/Antiquariat, The Book Depository EURO [60485773], London, United Kingdom.
Language: English Brand New Book ***** Print on Demand *****.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. It was a milestone of Robert C.Merton to consider an investment-consumption problem where risky assets follow a Geometric Brownian Motion. 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. As soon as the investor is faced with transaction costs however, he must match the benefits of improved diversification against the associated transaction costs. This book tries to outline several important theories and results concerning proportional transaction costs.

Lieferung aus: Vereinigte Staaten von Amerika, Usually ships in 1-2 business days.
Von Händler/Antiquariat, super_star_seller.
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. It was a milestone of Robert C.Merton to consider an investment-consumption problem where risky assets follow a Geometric Brownian Motion. 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. As soon as the investor is faced with transaction costs however, he must match the benefits of improved diversification against the associated transaction costs. This book tries to outline several important theories and results concerning proportional transaction costs. Paperback, Label: VDM Verlag Dr. Müller, VDM Verlag Dr. Müller, Produktgruppe: Book, Publiziert: 2010-01-05, Freigegeben: 2010-01-05, Studio: VDM Verlag Dr. Müller, Verkaufsrang: 13271923.

Von Händler/Antiquariat, Books2Anywhere [190245], Fairford, GLOS, United Kingdom.
New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.

Lieferung aus: Spanien, Normalmente se despacha en 24 horas.
Von Händler/Antiquariat, Amazon.es.
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