Geodesic
Log-optimal investment in the long run with proportional transaction costs when using shadow prices
Kybernetika, Tome 51 (2015) no. 4, pp. 588-628

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We consider a non-consuming agent interested in the maximization of the long-run growth rate of a wealth process investing either in a money market and in one risky asset following a geometric Brownian motion or in futures following an arithmetic Brownian motion. The agent faces proportional transaction costs, and similarly as in [17] where the case of stock trading is considered, we show how the log-optimal optimal policies in the long run can be derived when using the technical tool of shadow prices. We also provide a brief link between technical tools used in this paper and the ones used in [14,15,17].
DOI : 10.14736/kyb-2015-4-0588
Classification : 60G44, 60H30, 91B28
Keywords: proportional transaction costs; logarithmic utility; shadow prices 
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Dostál, Petr; Klůjová, Jana. Log-optimal investment in the long run with proportional transaction costs when using shadow prices. Kybernetika, Tome 51 (2015) no. 4, pp. 588-628. doi: 10.14736/kyb-2015-4-0588

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