Log-optimal portfolio-selection strategies with proportional transaction costs
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Publication:2888932
zbMATH Open1239.91147MaRDI QIDQ2888932FDOQ2888932
Authors: László Györfi, Harro Walk 
Publication date: 4 June 2012
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9781848168145/9781848168145_0003.html
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Cited In (15)
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
- Growth-optimal portfolios under transaction costs
- Exponential growth of fixed-mix strategies in stationary asset markets
- Growth-optimal portfolio selection with short selling and leverage
- Limit theorems for log-optimal portfolio
- On evaluation of strategies of a return process
- Penalty methods for continuous-time portfolio selection with proportional transaction costs
- Investment strategies in the long run with proportional transaction costs and a HARA utility function
- Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
- UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS
- GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
- Growth Optimal Investment with Transaction Costs
- Log-optimal investment in the long run with proportional transaction costs when using shadow prices.
- OPTIMAL LAG IN DYNAMICAL INVESTMENTS
- Performance analysis of log-optimal portfolio strategies with transaction costs
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