Blanchet-Scalliet, Christophette; Gibson Brandon, Rajna; … - Swiss National Centre of Competence in Research North … - 2009
We consider a risky asset whose instantaneous rate of returntakes two dierent values and changes from one to the other one at randomtimes which are neither known, nor directly observable. We study the optimalallocation strategy of traders who, in the presence of cost of transactions, investin...