Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
2008 ◽
Vol 40
(3)
◽
pp. 673-695
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Keyword(s):
Long Run
◽
We study the problem of maximizing the long-run average growth of total wealth for a logarithmic utility function under the existence of fixed and proportional transaction costs. The market model consists of one riskless asset and d risky assets. Impulsive control theory is applied to this problem. We derive a quasivariational inequality (QVI) of ‘ergodic’ type and obtain a weak solution for the inequality. Using this solution, we obtain an optimal investment strategy to achieve the optimal growth.
2008 ◽
Vol 40
(03)
◽
pp. 673-695
◽
2019 ◽
Vol 34
(2)
◽
pp. 213
2019 ◽
Vol 34
(2)
◽
pp. 213
2006 ◽
Vol 09
(07)
◽
pp. 1051-1069
◽
2004 ◽
Vol 07
(05)
◽
pp. 645-657
◽
Keyword(s):