FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES

DOI10.1142/S0219024900000486zbMath0970.91042arXivcond-mat/9908253MaRDI QIDQ4521280

Erik Aurell, Paolo Muratore-Ginanneschi

Publication date: 19 December 2000

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9908253

zbMATH Keywords

transaction costsgrowth-optimal strategies

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (4)

GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS ⋮ FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES ⋮ Volatility-induced financial growth ⋮ OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS

Cites Work

• Optimal Investment Strategy for Risky Assets
• On an Investment-Consumption Model with Transaction Costs

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