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
收藏
页码：5582 / 5589
页数：8
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