Properties of optimal strategies under transaction costs


Finding optimal investment strategies.

Project aim

Finding optimal investment strategies.

Research method

Own study

History of execution

Based on the notion of conditional expected value, the notion of the so called “shadow price” was introduced. It stands for the price for which the market, without the costs for transactions is, from the investor’s viewpoint, the same as the real market. Thanks to this phenomenon the investment portfolio may be valued in accordance with the investor’s preferences. The key thing in this research are advance probabilistic and stochastic methods.

Effect of implementation

The effect of the research should be a better method of valuing the investment portfolio, which considers the investor’s individual preferences. Besides, the method discussed may help understand in a better description of strategies best for the investor.