Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions

E. Babaei, I.V. Evstigneev, Klaus Schenk-Hoppé and M.V. Zhitlukhin

Economics Discussion Paper Series from Economics, The University of Manchester

Abstract: The aim of this work is to extend the classical theory of growth-optimal investments (Shannon, Kelly, Breiman, Algoet, Cover and others) to models of asset markets with frictions—transaction costs and portfolio constraints. As the modelling framework, we use discrete-time dynamical systems generated by convex homogeneous multivalued operators in spaces of random vectors—von Neumann Gale dynamical systems. The main results are concerned with the construction and characterization of investment strategies possessing properties of asymptotic growth-optimality almost surely.

JEL-codes: C61 C62 C67 G10 G11 G12 O41 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://hummedia.manchester.ac.uk/schools/soss/eco ... npapers/EDP-1815.pdf (application/pdf)

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:man:sespap:1815

Access Statistics for this paper

More papers in Economics Discussion Paper Series from Economics, The University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Patrick Macnamara ().