Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification

Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory... A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our wealth in each asset. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification

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Publisher
Springer Journals
Copyright
Copyright © 2011 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-010-9113-x
Publisher site
See Article on Publisher Site

Abstract

A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our wealth in each asset.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Feb 1, 2011

References

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