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We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....
Persistent link: https://www.econbiz.de/10005566172
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio
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A one-sided testing problem based on an i.i.d. sample of observations is considered. The usual one-sided sequential probability ratio test would be based on a random walk derived from these observations. Here we propose a sequential test where the random walk is replaced by Lindley’s random...
Persistent link: https://www.econbiz.de/10005598677
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The problem of sequentially testing two simple hypotheses is considered for i.i.d. observations. We give explicit lower bounds for the kth moments of the expected sample size for a sequential test with error probabilities [alpha] and [beta]. These bounds give the optimal asymptotic rate as...
Persistent link: https://www.econbiz.de/10005223599
In this paper a method for obtaining a.s. consistency in nonparametric estimation is presented which only requires the handling of covariances. This method is applied to kernel density estimation and kernel and nearest neighbour regression estimation. It leads to conditions for a.s. consistency...
Persistent link: https://www.econbiz.de/10005152750
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A general result on r-quick convergence for time-averages of regenerative stochastic processes is derived and then applied to Markov processes. The notion of r-quick convergence was used by Lai (1981) to show asymptotic optimality of invariant sequential probability ratio tests. In the last...
Persistent link: https://www.econbiz.de/10008872926