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Benefits of Fluctuating Exchange Rates on the Investor’s Wealth

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  • Obonye Doctor
  • Edward M. Lungu

Abstract

We consider a problem of maximizing the utility of an agent who invests in a stock and a money market account incorporating proportional transaction costs (λ > 0) and foreign exchange rate fluctuations. Assuming a HARA utility function U(c) = cp/p for all c ≥ 0, p

Suggested Citation

  • Obonye Doctor & Edward M. Lungu, 2022. "Benefits of Fluctuating Exchange Rates on the Investor’s Wealth," Journal of Applied Mathematics, John Wiley & Sons, vol. 2022(1).
    • Handle: RePEc:wly:jnljam:v:2022:y:2022:i:1:n:5595610
    DOI: 10.1155/2022/5595610
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    References listed on IDEAS

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    5. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
    6. Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October.
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