• Introduction
  • 1 The case of two riskless assets and all-or-nothing portfolio holdings
  • 1.1 Problem Formulation
  • 1.2 Probabilistic approach: backward induction
  • 1.3 Equivalent analytical approach
  • 1.4 Solution
  • 1.5 Optimization
  • 1.6 The hysteresis band
  • 1.7 The expected rate of growth and the expected frequency of transactions
  • 2 The case of two riskless assets and continuous portfolio holdings
  • 3 The case of one riskless and one risky, mean-reverting asset
  • 3.1 Problem formulation and solution
  • 3.2 Equilibrium and deviations from the C.A.P.M
  • 4 The hysteresis bands in presence of idiosyncratic risk
  • 5 Calibration
  • 6 Conclusion
  • 7 References