IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1005.2661.html
   My bibliography  Save this paper

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

Author

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

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.

Suggested Citation

  • Bohdan Yu. Kyshakevych & Anatoliy K. Prykarpatsky & Denis Blackmore & Ivan P. Tverdokhlib, 2010. "Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function," Papers 1005.2661, arXiv.org.
    • Handle: RePEc:arx:papers:1005.2661
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1005.2661
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
    2. Pafka, Szilárd & Kondor, Imre, 2004. "Estimated correlation matrices and portfolio optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 623-634.
    3. Richard Bellman, 1957. "On a Dynamic Programming Approach to the Caterer Problem--I," Management Science, INFORMS, vol. 3(3), pages 270-278, April.
    4. Cohen, Morrel H. & Natoli, Vincent D., 2003. "Risk and utility in portfolio optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 81-88.
    5. Platen, Eckhard, 2006. "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 23-29.
    6. 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.
    7. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. De Moor, Bram J. & Gijsbrechts, Joren & Boute, Robert N., 2022. "Reward shaping to improve the performance of deep reinforcement learning in perishable inventory management," European Journal of Operational Research, Elsevier, vol. 301(2), pages 535-545.
    2. Florent Gallien & Serge Kassibrakis & Semyon Malamud, 2018. "Hedge or Rebalance: Optimal Risk Management with Transaction Costs," Risks, MDPI, vol. 6(4), pages 1-14, October.
    3. Boetius, Frederik & Kohlmann, Michael, 1998. "Connections between optimal stopping and singular stochastic control," Stochastic Processes and their Applications, Elsevier, vol. 77(2), pages 253-281, September.
    4. Magnac, Thierry & Roux, Sébastien, 2021. "Heterogeneity and wage inequalities over the life cycle," European Economic Review, Elsevier, vol. 134(C).
    5. Thomas Ziesemer, 2016. "The Impact of Development Aid on Education and Health: Survey and New Evidence for Low‐income Countries from Dynamic Models," Journal of International Development, John Wiley & Sons, Ltd., vol. 28(8), pages 1358-1380, November.
    6. Eric Sucky, 2006. "Kontraktlogistik—Ein stochastisch dynamischer Planungsansatz zur Logistikdienstleisterauswahl," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 17(2), pages 131-153, June.
    7. Joseph Kadane, 2015. "Optimal discrete search with technological choice," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 317-336, June.
    8. Pierdzioch, Christian, 2000. "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers 970, Kiel Institute for the World Economy (IfW Kiel).
    9. Jiho Park, 2024. "Heterogeneous Beliefs Model of Stock Market Predictability," Papers 2406.08448, arXiv.org.
    10. Pierre Bernhard & Marc Deschamps, 2017. "Kalman on dynamics and contro, Linear System Theory, Optimal Control, and Filter," Working Papers 2017-10, CRESE.
    11. Acemoglu, Daron & Rafey, Will, 2023. "Mirage on the horizon: Geoengineering and carbon taxation without commitment," Journal of Public Economics, Elsevier, vol. 219(C).
    12. Jones, Randall E. & Cacho, Oscar J., 2000. "A Dynamic Optimisation Model of Weed Control," 2000 Conference (44th), January 23-25, 2000, Sydney, Australia 123685, Australian Agricultural and Resource Economics Society.
    13. Kulmala, Soile & Laukkanen, Marita & Michielsens, Catherine, 2008. "Reconciling economic and biological modeling of migratory fish stocks: Optimal management of the Atlantic salmon fishery in the Baltic Sea," Ecological Economics, Elsevier, vol. 64(4), pages 716-728, February.
    14. Colin Atkinson & Emmeline Storey, 2010. "Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 323-357.
    15. Sunil Kumar & Kumar Muthuraman, 2004. "A Numerical Method for Solving Singular Stochastic Control Problems," Operations Research, INFORMS, vol. 52(4), pages 563-582, August.
    16. Norkutė, Milda & Sarafidis, Vasilis & Yamagata, Takashi & Cui, Guowei, 2021. "Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure," Journal of Econometrics, Elsevier, vol. 220(2), pages 416-446.
    17. Voelkel, Michael A. & Sachs, Anna-Lena & Thonemann, Ulrich W., 2020. "An aggregation-based approximate dynamic programming approach for the periodic review model with random yield," European Journal of Operational Research, Elsevier, vol. 281(2), pages 286-298.
    18. Wang, Ting & Young, Virginia R., 2012. "Maximizing the utility of consumption with commutable life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 352-369.
    19. Javier de Frutos & Victor Gaton, 2016. "A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility," Papers 1612.09469, arXiv.org.
    20. Powell, Warren B., 2019. "A unified framework for stochastic optimization," European Journal of Operational Research, Elsevier, vol. 275(3), pages 795-821.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1005.2661. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.