Palczewski, J and Stettner, L (2008) Growth-optimal portfolios under transaction costs. Applicationes Mathematicae (Warsaw), 35. 1 - 31. ISSN 1233-7234
Abstract
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depends on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio wealth. We show that this strategy has a Markovian form. Our result is obtained by large deviations estimates on empirical measures of the price process and by a generalization of the vanishing discount method to discontinuous transition operators.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2008, Polskiej Akademii Nauk, Instytut Matematyczny . This is an author produced version of a paper published in Applicationes Mathematicae. Uploaded in accordance with the publisher's self-archiving policy. |
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 08:20 |
Last Modified: | 03 Feb 2018 05:11 |
Published Version: | http://dx.doi.org/10.4064/am35-1-1 |
Status: | Published |
Publisher: | Polskiej Akademii Nauk, Instytut Matematyczny (Polish Academy of Sciences, Institute of Mathematics) |
Refereed: | Yes |
Identification Number: | 10.4064/am35-1-1 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:79167 |