FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES

Erik Aurell () and Paolo Muratore-Ginanneschi ()
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Erik Aurell: Matematiska Institutionen, Stockholms Universitet, SE-106 91 Stockholm, Sweden
Paolo Muratore-Ginanneschi: CATS, The Niels Bohr Institute, Blegdamsvej 17, DK-2100 Copenhagen, Denmark

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 501-510

Abstract: We study long-term growth-optimal strategies on a simple market with transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal strategies and expected frictional losses of the friction parameter.

Date: 2000
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DOI: 10.1142/S0219024900000486

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