An Investment Strategy in Portfolio Selection Problem With Bullet Transaction Cost
An Investment Strategy in Portfolio Selection Problem With Bullet Transaction Cost is a scholarly work, published in 2003 in ''Journal of Mathematics and Its Applications''. The main subjects of the publication include time horizon, consumption, business, investment strategy, alternative investment, asset allocation, finance, stochastic control, economics, database transaction, transaction cost, robust optimization, portfolio, ageing, asset, investment, computer science, and microeconomics. This paper discusses an investment strategy for a con- sumption and investment decision problem for an individual who has available a riskless asset paying fixed interest rate and a risky asset driven by Brownian motion price fluctuations.