Home > Search Results: Tarabić, Aleksandra
Search:
 
Search Tips :: Simple Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 4 records found  Search took 0.00 seconds. 
Kelly Criterion
 Tarabić, Aleksandra ; Dostál, Petr (advisor) ; Pawlas, Zbyněk (referee)
Detailed record
Téměř optimální obchodní strategie pro více rizikových aktiv
 Tarabić, Aleksandra ; Dostál, Petr (advisor) ; Maslowski, Bohdan (referee)
Assume that we have an~investor who may invests in several risky assets called stocks and in one non-risky asset called bond and that the investor is interested in the expected utility of his/her wealth far in the future. In order to be able to treat the problem, we make several essential simplifying assumptions. First, we assume that the logarithm of the stock market prices is a~multidimensional arithmetic Brownian motion, that the investors pays proportional transaction costs and that the utility function is of a~HARA type. We are able to propose a~strategy that can be called almost optimal in the long run provided that the stock market prices are independent.
Detailed record
Téměř optimální obchodní strategie pro více rizikových aktiv
 Tarabić, Aleksandra ; Dostál, Petr (advisor) ; Maslowski, Bohdan (referee)
Assume that we have an~investor who may invests in several risky assets called stocks and in one non-risky asset called bond and that the investor is interested in the expected utility of his/her wealth far in the future. In order to be able to treat the problem, we make several essential simplifying assumptions. First, we assume that the logarithm of the stock market prices is a~multidimensional arithmetic Brownian motion, that the investors pays proportional transaction costs and that the utility function is of a~HARA type. We are able to propose a~strategy that can be called almost optimal in the long run provided that the stock market prices are independent.
Detailed record
Kelly Criterion
 Tarabić, Aleksandra ; Pawlas, Zbyněk (referee) ; Dostál, Petr (advisor)
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English