01-15   Berichtsreihe des Mathematischen Seminars der Universität Kiel

Jörn Saß:

Portfoliooptimierung bei logarithmischen Nutzen in einer Periode

We analyse the CRR model in one period, i.e. we only consider one deterministically interest-bearing bond and one stock whose value increases by a certain amount with probability p and decreases with probability 1-p. We introduce a general cost structure containing most of the transaction cost models (for example proportional, fixed and constant costs) which were considered in numerous papers dealing with portfolio-optimization under transaction costs in more general models. Because of its simple structure, the CRR-model can be analysed in a fairly complete way. It also provides insight in what may be expected in more complex models.

Mathematics Subject Classification (1991): 91B28

Keywords: Portfoliooptimierung, Transaktionskosten, CRR-Modell

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[Thu Feb 19 18:56:36 2009]
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