| Title:
|
Log-optimal investment in the long run with proportional transaction costs when using shadow prices (English) |
| Author:
|
Dostál, Petr |
| Author:
|
Klůjová, Jana |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
51 |
| Issue:
|
4 |
| Year:
|
2015 |
| Pages:
|
588-628 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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 similarly as in [17] where the case of stock trading is considered, we show how the log-optimal optimal policies in the long run can be derived when using the technical tool of shadow prices. We also provide a brief link between technical tools used in this paper and the ones used in [14,15,17]. (English) |
| Keyword:
|
proportional transaction costs |
| Keyword:
|
logarithmic utility |
| Keyword:
|
shadow prices |
| MSC:
|
60G44 |
| MSC:
|
60H30 |
| MSC:
|
91B28 |
| idZBL:
|
Zbl 06537774 |
| idMR:
|
MR3423189 |
| DOI:
|
10.14736/kyb-2015-4-0588 |
| . |
| Date available:
|
2015-11-20T12:16:01Z |
| Last updated:
|
2016-04-02 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/144470 |
| . |
| Reference:
|
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