- Author
- Kucharski Rafał (Uniwersytet Ekonomiczny w Katowicach)
- Title
- Zbieżność strategii optymalnych na rynkach finansowych z ograniczeniami płynności
Convergence of Optimal Strategies on Financial Markets with Liquidity Constraints - Source
- Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach, 2015, nr 219, s. 28-40, tab., wykr., bibliogr. 12 poz.
- Keyword
- Płynność finansowa, Koszty transakcyjne, Wycena instrumentów finansowych
Financial liquidity, Transaction cost, Financial instruments valuation - Note
- streszcz., summ.
- Abstract
- W pracy rozważamy model rynku finansowego opisanego przez Çetina i Rogersa [2007], w którym ściśle wypukłe koszty transakcyjne służą do modelowania efektów związanych z ograniczeniami płynności. Udaje się wzmocnić rezultaty tej pracy, dowodząc jedyności strategii optymalnych, oraz wykazać ich ciągłość względem preferencji inwestorów.(abstrakt oryginalny)
In this paper we consider the model of financial market described by Çetin and Rogers [2007], where strictly convex transaction costs are used to model the effects of liquidity constraints. We were able to improve results of that paper, proving uniqueness of optimal strategies and their continuity with respect to investors' preferences.(original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business - Full text
- Show
- Bibliography
-
- Carassus L., Rásonyi M. (2007), Optimal strategies and utility-based prices converge when agents\' preferences do, "Mathematics of Operations Research", Vol. 32 (1).
- Çetin U., Rogers L.C.G. (2007), Modeling liquidity effects in discrete time, "Mathematical Finance", Vol. 17 (1).
- Föllmer H., Schied A. (2004), Stochastic Finance. An Introduction in Discrete Time, 2nd edition, "De Gruyter Studies in Mathematics", No. 27, Walter de Gryter \& Co., Berlin.
- Jouini E., Napp C. (2004), Convergence of utility functions and convergence of optimal strategies, "Finance and Stochastics", Vol. 8 (1).
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- Kardaras C., Žitković G. (2011), Stability of the utility maximization problem with random endowment in incomplete markets, "Mathematical Finance", Vol. 21 (2).
- Kucharski R. (2006), Convergence of optimal strategies in a discrete time market with finite horizon, "Applicationes Mathematicae", Vol. 33 (1).
- Kucharski R. (2008), Convergence of optimal strategies under proportional transaction costs [w:] Ł. Stettner (ed.), Advances in mathematics of finance, No. 83 in Banach Center Publications, Polish Academy of Sciences, Institute of Mathematics, Warsaw.
- Larsen K. (2009), Continuity of utility-maximization with respect to preferences, "Mathematical Finance", Vol. 19 (2).
- Larsen K., Žitković G. (2007), Stability of utility-maximization in incomplete markets, "Stochastic Processes and their Applications", Vol. 117 (11).
- Rockafellar R.T., Wets, R.J.-B. (1998), Variational analysis, Vol. 317 of "Grundlehren der Mathematischen Wissenschaften" [Fundamental Principles of Mathematical Sciences], Springer-Verlag, Berlin.
- Rogers L.C.G., Singh S. (2004), Modelling liquidity and its effects on price, Technical Report, Cambridge University.
- Cited by
- ISSN
- 2083-8611
- Language
- pol
