Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs

被引：4

作者：

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

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

Stettner, L.

机构：

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

来源：

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

关键词：

D O I：

10.1109/CDC.2008.4739165

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Some results are given for a continuous time long run growth optimal portfolio that has proportional costs consisting of the sum of a fixed proportional cost and a cost that is proportional to the volume of each transaction. An obligatory portfolio diversification is given that requires at least a small portion of the wealth be invested in each asset. It is assumed that the price of each asset is obtained from a Levy noise stochastic equation whose coefficients depend on an unknown parameter from a compact set. It is shown that the optimal cost is a continuous function of the unknown parameter.

引用

页码：4275 / 4279

页数：5

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