Abstract
A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our wealth in each asset.
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L. Stettner’s research was supported by MNiSzW grant no. N N201 371836.
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Open Access This is an open access article distributed under the terms of the Creative Commons Attribution Noncommercial License (https://creativecommons.org/licenses/by-nc/2.0), which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.
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Duncan, T., Pasik Duncan, B. & Stettner, L. Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification. Appl Math Optim 63, 107–132 (2011). https://doi.org/10.1007/s00245-010-9113-x
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DOI: https://doi.org/10.1007/s00245-010-9113-x