Long time growth optimal portfolio with transaction costs

zbMATH Open1189.91195MaRDI QIDQ3400720FDOQ3400720

Authors: Łukasz Stettner 

Publication date: 5 February 2010

Recommendations

• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• Growth-optimal portfolios under transaction costs
• Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
• Maximization of the portfolio growth rate under fixed and proportional transaction costs
• Optimal portfolio selection under vanishing fixed transaction costs

zbMATH Keywords

Markov processtransaction costsBellman equationgrowth of portfoliolong term portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cited In (8)

• Growth-optimal portfolios under transaction costs
• Almost surely optimal portfolios under proportional transaction costs
• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
• Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
• Title not available (Why is that?)
• Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
• GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
• Growth Optimal Investment with Transaction Costs

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