Growth Optimal Investment with Transaction Costs

被引：0
|
作者：
Gyoerfi, Laszlo [1 ]
Vajda, Istvan [1 ]
机构：
[1] Budapest Univ Technol & Econ, Dept Comp Sci & Informat Theory, H-1117 Budapest, Hungary
来源：
ALGORITHMIC LEARNING THEORY, PROCEEDINGS | 2008年 / 5254卷
关键词：
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Discrete time infinite horizon growth optimal investment in stock markets with transaction costs is considered. The stock processes are modelled by homogeneous Markov processes. Assuming that the distribution of the market process is known, we show two recursive investment strategies such that, in the long run, the growth rate on trajectories (in "liminf" sense) is greater than or equal to the growth rate of any other investment strategy with probability 1.
引用
收藏
页码：108 / 122
页数：15
相关论文
共 50 条
  • [1] OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS
    Shreve, S. E.
    Soner, H. M.
    [J]. ANNALS OF APPLIED PROBABILITY, 1994, 4 (03): : 609 - 692
  • [2] GROWTH OPTIMAL INVESTMENT WITH THRESHOLD REBALANCING PORTFOLIOS UNDER TRANSACTION COSTS
    Tunc, Sait
    Donmez, Mehmet A.
    Kozaf, Suleyman S.
    [J]. 2013 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP), 2013, : 8717 - 8721
  • [3] Optimal consumption and investment under transaction costs*
    Hobson, David
    Tse, Alex S. L.
    Zhu, Yeqi
    [J]. MATHEMATICAL FINANCE, 2019, 29 (02) : 483 - 506
  • [4] Optimal investment under transaction costs for an insurer
    Thonhauser S.
    [J]. European Actuarial Journal, 2013, 3 (2) : 359 - 383
  • [5] Optimal investment with transaction costs and without semimartingales
    Guasoni, P
    [J]. ANNALS OF APPLIED PROBABILITY, 2002, 12 (04): : 1227 - 1246
  • [6] OPTIMAL INVESTMENT WITH TRANSACTION COSTS AND DIVIDENDS FOR AN INSURER
    Bi, Junna
    Meng, Qingbin
    [J]. RAIRO-OPERATIONS RESEARCH, 2016, 50 (4-5) : 845 - 855
  • [7] Singular optimal strategies for investment with transaction costs
    Weerasinghe, APN
    [J]. ANNALS OF APPLIED PROBABILITY, 1998, 8 (04): : 1312 - 1330
  • [8] Growth optimal investment in discrete-time markets with proportional transaction costs
    Vanli, N. Denizcan
    Tunc, Sait
    Donmez, Mehmet A.
    Kozat, Suleyman S.
    [J]. DIGITAL SIGNAL PROCESSING, 2016, 48 : 226 - 238
  • [9] Growth optimal policies with transaction costs
    Iyengar, GN
    Cover, TM
    [J]. 1998 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY - PROCEEDINGS, 1998, : 173 - 173
  • [10] FINITE HORIZON OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS
    Dai, Min
    Jiang, Lishang
    Li, Peifan
    Yi, Fahuai
    [J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2009, 48 (02) : 1134 - 1154
12345