Palczewski, J and Stettner, L (2007) Maximization of the portfolio growth rate under fixed and proportional transaction costs. Communications in Information and Systems, 7 (1). 31 - 58. ISSN 1526-7555
Abstract
This paper considers a discrete-time Markovian model of asset prices with economic factors and transaction costs with proportional and fixed terms. Existence of optimal strategies maximizing average growth rate of portfolio is proved in the case of complete and partial observation of the process modelling the economic factors. The proof is based on a modification of the vanishing discount approach. The main difficulty is the discontinuity of the controlled transition operator of the underlying Markov process.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2007, International Press. This is an author produced version of a paper published in Communications in Information and Systems. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Growth rate; optimal control; Markov process; transaction costs; portfolio optimization; incomplete information; impulsive strategy; vanishing discount |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Applied Mathematics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 10 Jun 2014 13:23 |
Last Modified: | 19 Jan 2018 06:06 |
Published Version: | http://dx.doi.org/10.4310/CIS.2007.v7.n1.a3 |
Status: | Published |
Publisher: | International Press |
Identification Number: | 10.4310/CIS.2007.v7.n1.a3 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:79165 |