Search results for "portfolio choice"

showing 2 items of 2 documents

Wine - investment: a profitable alternative investment or a simple long term pleasure?

2014

International audience; The purpose of this work is twofold: - to make a first historic analysis of performance through an investment in wine by comparing its performance with those that would have been possible to obtain at the same time by providing financial term investments; - to introduce the regional diversity of performance by considering the situation in the three selected geographic areas.

JEL: D - Microeconomics/D.D4 - Market Structure Pricing and Design/D.D4.D44 - AuctionsJEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q1 - Agriculture/Q.Q1.Q11 - Aggregate Supply and Demand Analysis • PricesJEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment DecisionsJEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions[ SHS.ECO ] Humanities and Social Sciences/Economies and finances[SHS.ECO]Humanities and Social Sciences/Economics and Finance[SHS.ECO] Humanities and Social Sciences/Economics and FinanceJEL : Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q1 - Agriculture/Q.Q1.Q11 - Aggregate Supply and Demand Analysis • PricesJEL : D - Microeconomics/D.D4 - Market Structure Pricing and Design/D.D4.D44 - Auctions
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A Unified Approach to Portfolio Optimization with Linear Transaction Costs

2004

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…

Structure (mathematical logic)Transaction costMathematical optimizationComputer sciencejel:C63General Mathematicsjel:C61Function (mathematics)Management Science and Operations ResearchSingular controljel:G11Merton's portfolio problemEconomicsPortfolioPortfolio optimizationportfolio choice transaction costs stochastic singular control stochastic impulse control computational methodsSoftwareExpected utility hypothesisSSRN Electronic Journal
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