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pro vyhledávání: '"Marc Wittlinger"'
Autor:
Marc Wittlinger, Ulrich Rieder
Publikováno v:
Adv. in Appl. Probab. 46, no. 1 (2014), 121-138
We consider an investment problem where observing and trading are only possible at random times. In addition, we introduce drawdown constraints which require that the investor's wealth does not fall under a prior fixed percentage of its running maxim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6bdc97e7da4016d5fb7a9086b5e91b7
http://projecteuclid.org/euclid.aap/1396360106
http://projecteuclid.org/euclid.aap/1396360106
After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM approach yields co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::333a1a51a91a0ef0d6e86a02801a9f66
http://arxiv.org/abs/1305.1470
http://arxiv.org/abs/1305.1470
Autor:
S\\\'oren Christensen, Marc Wittlinger
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional transaction costs
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::356cee461f3f0ee58ac8a424499098fc
http://arxiv.org/pdf/1209.0305
http://arxiv.org/pdf/1209.0305