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Growth-Optimal Strategies with Quadratic Friction Over Finite-Time Investment Horizons
KTH, Superseded Departments, Numerical Analysis and Computer Science, NADA.
KTH, Superseded Departments, Numerical Analysis and Computer Science, NADA.
2004 (English)In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 7, no 5, 645-657 p.Article in journal (Refereed) Published
Abstract [en]

We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon.

Place, publisher, year, edition, pages
2004. Vol. 7, no 5, 645-657 p.
Keyword [en]
Growth optimal criteria, transaction costs, finite investment horizons
National Category
Computer and Information Science
Identifiers
URN: urn:nbn:se:kth:diva-55931DOI: 10.1142/S0219024904002578Scopus ID: 2-s2.0-7444257395OAI: oai:DiVA.org:kth-55931DiVA: diva2:472182
Note
QC 20120117Available from: 2012-01-03 Created: 2012-01-03 Last updated: 2017-12-08Bibliographically approved

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Aurell, ErikMuratore-Ginnaneschi, Paolo
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