Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification |
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Authors: | T Duncan B Pasik Duncan L Stettner |
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Institution: | (1) Institute of Mathematics, Polish Acad. Sci., Sniadeckich 8, 00-956 Warsaw, Poland |
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Abstract: | A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting
of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled
as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory
portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our
wealth in each asset. |
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Keywords: | |
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