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

Author

Listed:
  • Wael BAHSOUN

    (University of Manchester)

  • Igor V. EVSTIGNEEV

    (University of Manchester)

  • Michael I. TAKSAR

    (University of Missouri)

Abstract

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.

Suggested Citation

  • Wael BAHSOUN & Igor V. EVSTIGNEEV & Michael I. TAKSAR, "undated". "Capital growth under transaction costs: An analysis based on the von Neumann-Gale model," Swiss Finance Institute Research Paper Series 08-07, Swiss Finance Institute.
  • Handle: RePEc:chf:rpseri:rp0807
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    More about this item

    Keywords

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

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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