Benefits of Fluctuating Exchange Rates on the Investor’s Wealth

Benefits of Fluctuating Exchange Rates on the Investor’s Wealth

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 Uc=cp/p for all c≥0, p

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Veröffentlicht in:Journal of applied mathematics 2022-07, Vol.2022, p.1-10
Hauptverfasser: Doctor, Obonye, Lungu, Edward M.
Format: Artikel
Sprache:eng
Schlagworte:
Costs
Currency
Developing countries
Economic aspects
Financial markets
Foreign exchange
Foreign exchange rates
Interest rates
Investment analysis
Investment strategy
Investments
LDCs
Money markets
Partial differential equations
Stock exchanges
Stock prices
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Beschreibung
Zusammenfassung: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 Uc=cp/p for all c≥0, p
ISSN:1110-757X
1687-0042
DOI:10.1155/2022/5595610