Small‐cost asymptotics for long‐term growth rates in incomplete markets

DOI10.1111/mafi.12152zbMath1390.91283OpenAlexW3121235136MaRDI QIDQ4642737

Frank Thomas Seifried, Yaroslav Melnyk

Publication date: 25 May 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12152

zbMATH Keywords

asymptotic expansiontransaction costsKelly criterionpathwise optimalityleading-order optimalityMorton-Pliska

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic models in economics (91B70) Portfolio theory (91G10)

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