Growth-optimal investments and numeraire portfolios under transaction costs

Wael Bahsoun, Igor V. Evstigneev and Michael I. Taksar

Chapter 38 in Handbook of the Fundamentals of Financial Decision Making:In 2 Parts, 2013, pp 789-808 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The aim of this work is to extend the capital growth theory (Kelly, Latané, Breiman, Cover, Ziemba, Thorp, MacLean, Browne, Platen, Heath, 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 modeling of financial markets with frictions.

Keywords: Financial Decision Making; Asset Pricing; Prospect Theory; Utility Theory; Risk Aversion; Static Portfolio Theory; Stochastic Dominance; Dynamic Modeling; Dynamic Portfolio Theory; Tactical Asset Allocation; Kelly Strategy; Capital Growth (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814417358_0038 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814417358_0038 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814417358_0038

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().