UNIVERSITY
OF WROC£AW
 
Main Page
Contents
Online First
General Information
Instructions for authors


VOLUMES
43.1 42.2 42.1 41.2 41.1 40.2 40.1
39.2 39.1 38.2 38.1 37.2 37.1 36.2
36.1 35.2 35.1 34.2 34.1 33.2 33.1
32.2 32.1 31.2 31.1 30.2 30.1 29.2
29.1 28.2 28.1 27.2 27.1 26.2 26.1
25.2 25.1 24.2 24.1 23.2 23.1 22.2
22.1 21.2 21.1 20.2 20.1 19.2 19.1
18.2 18.1 17.2 17.1 16.2 16.1 15
14.2 14.1 13.2 13.1 12.2 12.1 11.2
11.1 10.2 10.1 9.2 9.1 8 7.2
7.1 6.2 6.1 5.2 5.1 4.2 4.1
3.2 3.1 2.2 2.1 1.2 1.1
 
 
WROC£AW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 25, Fasc. 1,
pages 75 - 95
 

PORTFOLIO DIVERSIFICATION WITH MARKOVIAN PRICES

Jan Palczewski
Jerzy Zabczyk

Abstract: The problem of constructing impulsive rebalancing of portfolios, introduced by Pliska and Suzuki, is solved for models with general Markovian prices. Existence of the optimal strategy is established and its structure described. Quasi-variational inequalities determining the value function are deduced for multiplicative prices with general Lévy noise and the case of Poissonian noise is considered in some detail.

2000 AMS Mathematics Subject Classification: 93E20, 91B28.

Key words and phrases: Impulsive control, portfolios, transaction costs, Lévy processes.

Download:    Abstract    Full text   Abstract + References