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Optimal Portfolio of Low Liquid Assets with a Power Utility Function
http://hdl.handle.net/2261/284
http://hdl.handle.net/2261/2848b013d1b-742b-4b93-8324-892d6e45f35d
名前 / ファイル | ライセンス | アクション |
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jms100405.pdf (245.3 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2008-03-04 | |||||
タイトル | ||||||
タイトル | Optimal Portfolio of Low Liquid Assets with a Power Utility Function | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Portfolio optimization | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | liquidity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | power utility function | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | departmental bulletin paper | |||||
著者 |
Matsumoto, Koichi
× Matsumoto, Koichi |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | When an asset is completely liquid, an investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and his strategy is restricted. He has to consider the risk of the failure of the trade. In this paper a risky asset is traded at the random times and an investor has a power utility function. In this situation we solve an optimal portfolio problem. We propose an asymptotic expansion of the optimal strategy. Further we discuss convergence of the value function when the asset becomes liquid. | |||||
書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 10, 号 4, p. 687-726, 発行日 2003 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 13405705 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11021653 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 415 | |||||
主題Scheme | NDC | |||||
Mathematical Reviews Number | ||||||
MR2037764 | ||||||
Mathmatical Subject Classification | ||||||
91B28(MSC2000) | ||||||
Mathmatical Subject Classification | ||||||
93E20(MSC2000) | ||||||
出版者 | ||||||
出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
原稿受領日 | ||||||
2002-12-03 |