Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs
AbstractIn this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional transaction costs to make the portfolio problem more realistic. We provide a Verification Theorem to compute the optimal growth rate as well as an optimal trading strategy. Furthermore, we prove the existence of a constant boundary strategy which is optimal. At the end, we compare our approach to other discrete-time growth rate maximization problems in numerical examples. It turns out that constant boundary strategies with a small average number of trades per unit perform nearly as good as the classical optimal solutions with infinite activity.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1209.0305.
Date of creation: Sep 2012
Date of revision: Jun 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-09 (All new papers)
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