An Portfolio Optimal Attainability under Transaction Costs

Shi Meng Xu; Jun Hong Liu

doi:10.4028/www.scientific.net/AMM.472.1066

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vol. 472An Portfolio Optimal Attainability under...

An Portfolio Optimal Attainability under Transaction Costs

Abstract:

This According to discount asset function and double convex portfolio, the attainability of the asset optimization was discussed under the market models with transaction costs,. By virtue of stochastic analysis and the maximal value properties confined in some convex region, the attainability of asset optimization was given under discount function form and corresponding to utility function and expectation of utility function in this paper.

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Applied Mechanics and Materials (Volume 472)

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1066-1069

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.472.1066

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Online since:

January 2014

Authors:

Shi Meng Xu, Jun Hong Liu

Keywords:

Asset Optimization, Discount Asset, Double Convex, Expectation of Utility Function, Portfolio

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