Growth Optimal Portfolio Under Proportional Transaction Costs With Obligatory Diversification

被引：2

作者：

Duncan, T. E. ^{[1
]}

Pasik-Duncan, B. ^{[1
]}

Stettner, L. ^{[2
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

[2] Polish Acad Sci, Math Inst, Warsaw, Poland

来源：

47TH IEEE CONFERENCE ON DECISION AND CONTROL, 2008 (CDC 2008) | 2008年

关键词：

D O I：

10.1109/CDC.2008.4739164

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A continuous time long run growth optimal portfolio with proportional cost consisting of the sum of a fixed proportional cost and a cost proportional to the volume of transactions is considered. An obligatory portfolio diversification is introduced according to which it is required to invest at least a fixed small portion of the wealth in each asset.

引用

页码：5582 / 5589

页数：8

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