...
首页> 外文期刊>Journal of Mathematical Finance >An Extension of Some Results Due to Cox and Leland
【24h】

An Extension of Some Results Due to Cox and Leland

机译:Cox和Leland导致的一些结果的扩展

获取原文
   

获取外文期刊封面封底 >>

       

摘要

We investigate an optimal portfolio allocation problem between a risky and a risk-free asset, as in [1]. They obtained explicit conditions for path-independence and optimality of allocation strategies when the price of the risky asset follows a geometric Brownian motion with constant asset characteristics. This paper analyzes and extends their results for dynamic investment strategies by allowing for non-constant returns and volatility. We adopt a continuous-time approach and appeal to well established results in stochastic calculus for doing so.
机译:我们研究[1]中有风险和无风险资产之间的最优投资组合分配问题。当风险资产的价格遵循具有恒定资产特征的几何布朗运动时,他们获得了路径独立性和分配策略最优性的明确条件。本文通过考虑非恒定收益和波动性,分析并扩展了其针对动态投资策略的结果。我们采用连续时间方法,并呼吁随机演算中已建立好的结果。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号