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Risky Fraction Processes and Problems with Transaction Costs

In: Stochastic Processes And Applications To Mathematical Finance

Author

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  • Hideo Nagai

    (Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan)

Abstract

The following sections are included:IntroductionRisky Fraction ProcessesRisky Fraction Processes of ICAPMApplication to Optimal TrackingApplication to Portfolio Management with Transaction CostsExampleNumerical Implementation by Yoichi HondaReferences

Suggested Citation

  • Hideo Nagai, 2004. "Risky Fraction Processes and Problems with Transaction Costs," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 13, pages 271-288, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812702852_0013
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    Cited by:

    1. Kazufumi Fujimoto & Hideo Nagai & Wolfgang Runggaldier, 2014. "Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(1), pages 35-66, March.
    2. Soren Christensen & Albrecht Irle & Andreas Ludwig, 2016. "Optimal portfolio selection under vanishing fixed transaction costs," Papers 1611.01280, arXiv.org, revised Jul 2017.

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