Growth-optimal portfolios under transaction costs

• Autorzy: Jan Palczewski , Łukasz Stettner
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 93E20: Optimal stochastic control

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2008
• Tom: 35
• Numer: 1
• Strony: 1-31

Daty

wydano

2008

Twórcy

autor

Jan Palczewski

• School of Mathematics, University of Leeds, Leeds LS2 9JT, UK
• Faculty of Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland

autor

Łukasz Stettner

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland

Identyfikatory

DOI

10.4064/am35-1-1