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.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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 
@article{10_14736_kyb_2015_4_0588,
     author = {Dost\'al, Petr and Kl\r{u}jov\'a, Jana},
     title = {Log-optimal investment in the long run with proportional transaction costs when using shadow prices},
     journal = {Kybernetika},
     pages = {588--628},
     publisher = {mathdoc},
     volume = {51},
     number = {4},
     year = {2015},
     doi = {10.14736/kyb-2015-4-0588},
     mrnumber = {3423189},
     zbl = {06537774},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2015-4-0588/}
}
TY  - JOUR
AU  - Dostál, Petr
AU  - Klůjová, Jana
TI  - Log-optimal investment in the long run with proportional transaction costs when using shadow prices
JO  - Kybernetika
PY  - 2015
SP  - 588
EP  - 628
VL  - 51
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14736/kyb-2015-4-0588/
DO  - 10.14736/kyb-2015-4-0588
LA  - en
ID  - 10_14736_kyb_2015_4_0588
ER  - 
%0 Journal Article
%A Dostál, Petr
%A Klůjová, Jana
%T Log-optimal investment in the long run with proportional transaction costs when using shadow prices
%J Kybernetika
%D 2015
%P 588-628
%V 51
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14736/kyb-2015-4-0588/
%R 10.14736/kyb-2015-4-0588
%G en
%F 10_14736_kyb_2015_4_0588
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. http://geodesic.mathdoc.fr/articles/10.14736/kyb-2015-4-0588/

Cité par Sources :