The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
In the paper optimal asymptotics of HARA utility from terminal wealth under proportional transaction costs is considered. The asset prices are modeled as exponents of diffusion with jumps whose parameters depend on a finite-state Markov process of economic factors. An obligatory portfolio diversification is introduced, according to which it is required to invest at least a fixed small portion of our...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.