✦ LIBER ✦
093061 (E13, M30) On the inefficiency of bang-bang and stop-loss portfolio strategies : Gollier G., Journal of Risk and Uncertainty, Volume 14, Number 2, 1997, 143–154
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 87 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0167-6687
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✦ Synopsis
Abstracts and Reviews
and also for the boundaries of the no-transactions region. The economy consists of a single risky asset and a riskless asset. Transactions in the risky asset incur proportional transaction costs. The investor has a power utility function and is assumed to maximize expected utility of end-of-period wealth. We illustrate the solution procedure in the case in which the returns on the risky asset follow a multiplicative binomial process. Our paper both complements and extends the recent work by Gennotte and Jung (1994), which used numerical approximations to tackle this problem.