Growth-optimal portfolios under transaction costs
| dc.creator | Palczewski, Jan | |
| dc.creator | Stettner, Lukasz | |
| dc.date | 2007-07-21 | |
| dc.date.accessioned | 2026-07-07T12:05:18Z | |
| dc.date.available | 2026-07-07T12:05:18Z | |
| dc.description | This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio wealth. We show that this strategy has a Markovian form. Our result is obtained by large deviations estimates on empirical measures of the price process and by a generalization of the vanishing discount method to discontinuous transition operators. | |
| dc.description | 32 pages | |
| dc.identifier | https://arxiv.org/abs/0707.3198 | |
| dc.identifier | http://arxiv.org/abs/0707.3198 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208340 | |
| dc.subject | Portfolio Management | |
| dc.subject | Optimization and Control | |
| dc.subject | Probability | |
| dc.subject | 91B28 (Primary); 93E20, 60J05 (Secondary) | |
| dc.title | Growth-optimal portfolios under transaction costs | |
| dc.type | text |