Growth-Optimal Strategies with Quadratic Friction Over Finite-Time Investment Horizons
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
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.
Growth optimal criteria, transaction costs, finite investment horizons
Computer and Information Science
IdentifiersURN: urn:nbn:se:kth:diva-55931DOI: 10.1142/S0219024904002578ScopusID: 2-s2.0-7444257395OAI: oai:DiVA.org:kth-55931DiVA: diva2:472182
QC 201201172012-01-032012-01-032012-01-17Bibliographically approved