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

Title:

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

Creator:

Dostál, Petr and Klůjová, Jana

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:42628aef-0b00-4264-987d-19b4f9ca4643
uuid:42628aef-0b00-4264-987d-19b4f9ca4643

Subject:

proportional transaction costs, logarithmic utility, and shadow prices

Type:

model:article and TEXT

Format:

bez média and svazek

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 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].

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[588]-628

Source:

Kybernetika | 2015 Volume:51 | Number:4

Harvested from:

CDK

Metadata only:

false