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of 27
pro vyhledávání: '"Reppen, Max"'
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are given by di
Externí odkaz:
http://arxiv.org/abs/1805.05077
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value is quantifi
Externí odkaz:
http://arxiv.org/abs/1803.05663
We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and CIR processe
Externí odkaz:
http://arxiv.org/abs/1706.01813
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows to obtain
Externí odkaz:
http://arxiv.org/abs/1612.01302
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved
Externí odkaz:
http://arxiv.org/abs/1610.03958
Autor:
Reppen, Max
This thesis consists of two parts, both of which study the infinite horizon Merton problem under asymptotically small transaction costs. In the first part the asymptotical no trade regions are found numerically for proportional transaction costs, whe
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-139320
Publikováno v:
Annual Review of Financial Economics, 2017 Jan 01. 9, 301-331.
Externí odkaz:
https://www.jstor.org/stable/26774091
Akademický článek
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We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein–Uhlenbeck and CIR process
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2603::e646916e3189cdc35774046f5a3db170
http://tse-fr.eu/pub/32401
http://tse-fr.eu/pub/32401