Czasopismo
Tytuł artykułu
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Warianty tytułu
Języki publikacji
Abstrakty
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depends on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio wealth. We show that this strategy has a Markovian form. Our result is obtained by large deviations estimates on empirical measures of the price process and by a generalization of the vanishing discount method to discontinuous transition operators.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
1-31
Opis fizyczny
Daty
wydano
2008
Twórcy
autor
- School of Mathematics, University of Leeds, Leeds LS2 9JT, UK
- Faculty of Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland
autor
- Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-am35-1-1