Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification

被引：0
|
作者：
T. Duncan
B. Pasik Duncan
L. Stettner
机构：
[1] University of Kansas,Department of Mathematics
[2] Institute of Mathematics Polish Acad. Sci.,undefined
来源：
Applied Mathematics & Optimization | 2011年 / 63卷
关键词：
Markov process; Bellman equation; Penalty equation; Impulsive control; Portfolio optimization;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our wealth in each asset.
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页码：107 / 132
页数：25
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