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Capital growth theory and von Neumann-Gale dynamics

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  • Wael Bahsoun
  • Igor Evstigneev
  • Michael Taksar

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  • Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.
    • Handle: RePEc:man:sespap:0720
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    File URL: http://hummedia.manchester.ac.uk/schools/soss/economics/discussionpapers/EDP-0720.pdf
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    References listed on IDEAS

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    1. Rose-Anne Dana & Cuong Le Van & Tapan Mitra & Kazuo Nishimura, 2006. "Handbook on optimal growth (volume 1)," Post-Print halshs-00101345, HAL.
    2. Marianne Akian & Agnès Sulem & Michael I. Taksar, 2001. "Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 153-188, April.
    3. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
    4. Jouini,E. & Cvitanic,J. & Musiela,Marek (ed.), 2001. "Handbooks in Mathematical Finance," Cambridge Books, Cambridge University Press, number 9780521792370.
    5. Evstigneev, Igor V. & Schenk-Hoppe, Klaus Reiner, 2007. "Pure and randomized equilibria in the stochastic von Neumann-Gale model," Journal of Mathematical Economics, Elsevier, vol. 43(7-8), pages 871-887, September.
    6. Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
    7. Radner, Roy, 1973. "Optimal stationary consumption with stochastic production and resources," Journal of Economic Theory, Elsevier, vol. 6(1), pages 68-90, February.
    8. Michael Taksar & Michael J. Klass & David Assaf, 1988. "A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees," Mathematics of Operations Research, INFORMS, vol. 13(2), pages 277-294, May.
    9. J. v. Neumann, 1945. "A Model of General Economic Equilibrium," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 13(1), pages 1-9.
    10. Igor Evstigneev & Klaus Reiner Schenk-Hoppé, 2006. "Stochastic equilibria in von Neumann–Gale dynamical systems," Economics Discussion Paper Series 0620, Economics, The University of Manchester.
    11. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
    12. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Rapid paths in von Neumann-Gale dynamical systems," Economics Discussion Paper Series 0718, Economics, The University of Manchester.
    13. Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.
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