Investment strategies in the long run with proportional transaction costs and a HARA utility function

Petr Dostal

Quantitative Finance, 2009, vol. 9, issue 2, 231-242

Abstract: We consider an agent who invests in a stock and a money market in order to maximize the asymptotic behaviour of expected utility of the portfolio market price in the presence of proportional transaction costs. The assumption that the portfolio market price is a geometric Brownian motion and the restriction to a utility function with hyperbolic absolute risk aversion (HARA) enable us to evaluate interval investment strategies. It is shown that the optimal interval strategy is also optimal among a wide family of strategies and that it is optimal also in a time changed model in the case of logarithmic utility.

Keywords: Portfolio choice; Utility functions; Trading strategies; Portfolio optimization; Transaction costs (search for similar items in EconPapers)
Date: 2009
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/14697680802039873 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:9:y:2009:i:2:p:231-242

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697680802039873

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().