GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS

DOI10.1142/S0219024904002578zbMath1088.91031arXivcond-mat/0211044MaRDI QIDQ4653044

Paolo Muratore-Ginanneschi, Erik Aurell

Publication date: 28 February 2005

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/0211044

zbMATH Keywords

stochastic optimizationMarkov processtransaction costsmultiscale analysisexponential growth rateStatistical finance

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Related Items (2)

Optimal trading strategies—a time series approach ⋮ OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS

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• Optimal Investment Strategy for Risky Assets
• Universal Portfolios
• FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES
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