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Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function

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  • Bohdan Yu. Kyshakevych
  • Anatoliy K. Prykarpatsky
  • Denis Blackmore
  • Ivan P. Tverdokhlib
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    Abstract

    A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An associated Markov process method for finding an optimal choice strategy for monovariant and bivariant profit functions is developed. Under certain conditions on the bank "promotional" parameter with respect to the "fee" for a missed share package transaction and at an asymptotically large enough portfolio volume, universal transcendental equations - determining the optimal share package choice among competing strategies with monovariant and bivariant profit functions - are obtained.

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    File URL: http://arxiv.org/pdf/1005.2661
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1005.2661.

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    Date of creation: May 2010
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    Handle: RePEc:arx:papers:1005.2661

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    Web page: http://arxiv.org/

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    1. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 151(1), pages 1-16, July.
    2. Gollier, Christian, 2008. "Understanding saving and portfolio choices with predictable changes in assets returns," Journal of Mathematical Economics, Elsevier, vol. 44(5-6), pages 445-458, April.
    3. Platen, Eckhard, 2006. "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 370(1), pages 23-29.
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