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Capital growth under transaction costs: An analysis based on the von Neumann-Gale model


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  • Wael BAHSOUN

    (University of Manchester)


    (University of Manchester)

  • Michael I. TAKSAR

    (University of Missouri)


In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a different area of applications of the model in finance. It demonstrates how methods and concepts developed in the context of von Neumann-Gale dynamics can be used to develop a theory of optimal financial growth under transaction costs.

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Bibliographic Info

Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 08-07.

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Length: 18 pages
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Handle: RePEc:chf:rpseri:rp0807

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Related research

Keywords: capital growth theory; transaction costs; numeraire portfolios; random dynamical systems; convex multivalued operators; von Neumann-Gale model; rapid paths;

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