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.
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页码：4275 / 4279
页数：5
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