Von Neumann-Gale dynamics and capital growth in financial markets with frictions

DOI10.1007/s11579-019-00256-8zbMath1437.91415OpenAlexW2999692273WikidataQ126318228 ScholiaQ126318228MaRDI QIDQ2175464

E. Babaei, Mikhail Zhitlukhin, Klaus Reiner Schenk-Hoppé, Igor V. Evstigneev

Publication date: 29 April 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-019-00256-8

zbMATH Keywords

random dynamical systemstransaction costscapital growth theoryvon Neumann-Gale modelconvex multivalued operatorsbenchmark strategiesnumeraire portfoliosrapid paths

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

A multidimensional Fatou lemma for conditional expectations

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