Growth optimal policies with transaction costs

被引：0
|
作者：
Iyengar, GN [1 ]
Cover, TM [1 ]
机构：
[1] Stanford Univ, Informat Syst Lab, Stanford, CA 94305 USA
来源：
1998 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY - PROCEEDINGS | 1998年
关键词：
D O I：
10.1109/ISIT.1998.708769
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
In this work, we address the problem of growth optimal investment. This problem was introduced in i.i.d. markets by Breiman [1]. Since then it has been extended to stationary ergodic markets markets and also to markets with no distributional assumptions [2],[3],[4]. The previous work assumes that the market has no transaction costs, i.e. the investor is allowed to trade at no cost. Constant rebalanced strategies that are optimal in the frictionless case would lead to immediate bankruptcy in markets with costs. We extend the growth optimal framework to markets with costs.
引用
收藏
页码：173 / 173
页数：1
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