LOG-OPTIMAL INVESTMENT IN THE LONG RUN WITH PROPORTIONAL TRANSACTION COSTS WHEN USING SHADOW PRICES

被引：0

作者：

Dostal, Petr ^{[1
]}

Klujova, Jana ^{[1
]}

机构：

[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Prague 8, Czech Republic

来源：

KYBERNETIKA | 2015年 / 51卷 / 04期

关键词：

proportional transaction costs; logarithmic utility; shadow prices; PORTFOLIO SELECTION; CONSUMPTION; OPTIMIZATION; DUALITY;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

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].

引用

页码：588 / 628

页数：41