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Devaluation of fixed exchange rates: optimal strategy in the presence of speculation

✍ Scribed by Ivan Pastine


Publisher
Springer
Year
2000
Tongue
English
Weight
225 KB
Volume
15
Category
Article
ISSN
0938-2259

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## SUMMARY We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset, affecting the price of the asset and possibly incurring a fixed transaction cost. The objective is to maximize t