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<1, p≠0, we suggest an approach of deter...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2022/5595610 |
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