UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS

DOI10.1111/J.0960-1627.2005.00223.XMaRDI QIDQ3370592zbMATH OpenOpenAlexFDO

Authors G. Iyengar

Publication date 8 February 2006

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2005.00223.x

Mathematics Subject Classification ID

Economic growth models (91B62)

Recommendations

• Growth Optimal Investment with Transaction Costs
• Log-optimal portfolio-selection strategies with proportional transaction costs
• Universal portfolios with and without transaction costs.
• Growth-optimal portfolios under transaction costs
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS

Cites work

• Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
• Growth optimal investment in horse race markets with costs
• On an Investment-Consumption Model with Transaction Costs
• Universal portfolios with side information

Cited in

(4)

• Online portfolio selection: a survey
• Von Neumann–Gale model, market frictions and capital growth
• Growth Optimal Investment with Transaction Costs
• PORTFOLIO SELECTION AND ONLINE LEARNING

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