Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model

Wael Bahsoun, Igor Evstigneev and Michael I. Taksar

Papers from arXiv.org

Abstract: The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover 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 modelling of financial markets with frictions.

Date: 2009-09
New Economics Papers: this item is included in nep-fdg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0909.4730

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