Small‐cost asymptotics for long‐term growth rates in incomplete markets

DOI10.1111/MAFI.12152MaRDI QIDQ4642737zbMATH OpenOpenAlexFDO

Authors Yaroslav Melnyk, Frank Thomas Seifried

Publication date 25 May 2018

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12152

zbMATH Keywords

asymptotic expansionKelly criterionleading-order optimalityMorton-Pliskapathwise optimalitytransaction costs

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic models in economics (91B70) Portfolio theory (91G10)

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(7)

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• Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon
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• Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
• Leveraged funds: robust replication and performance evaluation
• Asymptotic analysis of long‐term investment with two illiquid and correlated assets

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