Log-optimal investment in the long run with proportional transaction costs when using shadow prices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10312784" target="_blank" >RIV/00216208:11320/15:10312784 - isvavai.cz</a>

Result on the web

<a href="http://www.kybernetika.cz/content/2015/4/588/paper.pdf" target="_blank" >http://www.kybernetika.cz/content/2015/4/588/paper.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2015-4-0588" target="_blank" >10.14736/kyb-2015-4-0588</a>

Result language

angličtina

Original language name

Log-optimal investment in the long run with proportional transaction costs when using shadow prices

Original language description

We consider a non-consuming agent interested in the maximization of the long-run growth rate of a wealth process investing either in a money market and in one risky asset following a geometric Brownian motion or in futures following an arithmetic Brownian motion. The agent faces proportional transaction costs, and we show how the log-optimal optimal policies in the long run can be derived when using the technical tool of shadow prices.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

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Volume of the periodical

51

Issue of the periodical within the volume

4

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

41

Pages from-to

588-628

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-84946836174