Von Neumann-Gale dynamics and capital growth in financial markets with frictions

被引：5

作者：

Babaei, Esmaeil ^{[1
]}

Evstigneev, Igor, V ^{[1
]}

Schenk-Hoppe, Klaus Reiner ^{[1
,2
]}

Zhitlukhin, Mikhail ^{[3
]}

机构：

[1] Univ Manchester, Econ, Oxford Rd, Manchester M13 9PL, Lancs, England

[2] NHH Norwegian Sch Econ, Dept Finance, Helleveien 30, N-5045 Bergen, Norway

[3] Russian Acad Sci, Steklov Math Inst, 8 Gubkina St, Moscow 119991, Russia

来源：

MATHEMATICS AND FINANCIAL ECONOMICS | 2020年 / 14卷 / 02期

基金：

俄罗斯基础研究基金会;

关键词：

Capital growth theory; Transaction costs; Benchmark strategies; Numeraire portfolios; Random dynamical systems; Convex multivalued operators; Von Neumann-Gale model; Rapid paths; COMPETITIVE PRICES; TRANSACTION COSTS; FATOUS LEMMA; EQUILIBRIA; SYSTEMS; PATHS;

D O I：

10.1007/s11579-019-00256-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The aim of this work is to extend the classical theory of growth-optimal investments (Shannon, Kelly, Breiman, Algoet, Cover and others) to models of asset markets with frictions-transaction costs and portfolio constraints. As the modelling framework, we use discrete-time dynamical systems generated by convex homogeneous multivalued operators in spaces of random vectors-von Neumann-Gale dynamical systems. The main results are concerned with the construction and characterization of investment strategies possessing properties of asymptotic growth-optimality almost surely.

引用

页码：283 / 305

页数：23

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