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

Wael Bahsoun, Igor Evstigneev and Michael I. Taksar
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Wael Bahsoun: University of Manchester
Michael I. Taksar: University of Missouri

No 08-07, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: capital growth theory; transaction costs; numeraire portfolios; random dynamical systems; convex multivalued operators; von Neumann-Gale model; rapid paths (search for similar items in EconPapers)
JEL-codes: C61 C62 G10 O41 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2008-04
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0807

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