Futures trading with transaction costs
type: Item
instance of: scholarly article
title: Futures trading with transaction costs
zbMATH Open document ID: 1276.91094
author: Karel Janeçek
author: Steven Shreve
published in: Illinois Journal of Mathematics
publication date: 2013-01-04T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.ijm/1348505528
review text: The authors consider the risky asset to be a futures price process modeled as an arithmetic Brownian motion. A probabilistic argument is developed to identify the loss in value when a proportional transaction cost is introduced. The paper also balances the marginal costs of the two effects caused by two sources of this loss: the first one is due to displacement (that arises because one cannot maintain the optimal portfolio of the zero-transaction-cost problem), and the second one due to transaction (when one adjusts the portfolio).
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6122094
zbMATH Keywords: futures contracts
zbMATH Keywords: transection costs
zbMATH Keywords: arithmetic Brownian motion
zbMATH Keywords: utility functions
zbMATH Keywords: Merton analysis
reviewed by: Anatoliy Swishchuk
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 6122094