- Keys
- Author
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.
