Abstract
AbstractThe 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.
Funder
Russian Foundation for Basic Research
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Cited by
2 articles.
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