Title :
Growth optimal portfolio under proportional transaction costs with obligatory diversification
Author :
T. E. Duncan;B. Pasik-Duncan;L. Stettner
Author_Institution :
Department of Mathematics, University of Kansas, Lawrence, 66045, USA
Abstract :
A continuous time long run growth optimal portfolio with proportional cost consisting of the sum of a fixed proportional cost and a cost proportional to the volume of transactions is considered. An obligatory portfolio diversification is introduced according to which it is required to invest at least a fixed small portion of the wealth in each asset.
Keywords :
"Portfolios","Cost function","Mathematics","Markov processes","USA Councils","Time measurement","Optimal control","Proportional control","Measurement standards","Motion measurement"
Conference_Titel :
Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
Print_ISBN :
978-1-4244-3123-6
DOI :
10.1109/CDC.2008.4739164
