Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the notion of a numeraire portfolio proposed by Long and show how such portfolios can be used for constructing growth-optimal investment strategies. The analysis is based on the classical von Neumann-Gale model of economic dynamics, a stochastic version of which we use as a framework for the modelling of financial markets with frictions.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:dau:papers:123456789/5630 is not listed on IDEAS
- repec:crs:wpaper:9513 is not listed on IDEAS
- Garud Iyengar, 2005. "Universal Investment In Markets With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 359-371.
- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Wiley Blackwell, vol. 16(1), pages 131-151.
- Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:jbs:wpaper:062005 is not listed on IDEAS
- Kabanov, Yu. M. & Stricker, Ch., 2001. "The Harrison-Pliska arbitrage pricing theorem under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 185-196, April.
- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
- 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.
- I. V. Evstigneev & K. R. Schenk-Hoppé, 2006. "VPure and Randomized Equilibria in the Stochastic von Neumann-Gale model," The School of Economics Discussion Paper Series 0603, Economics, The University of Manchester.
- Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:arx:papers:0909.4730. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.